Abstract:We propose a modification of the standard linear implicit Euler integrator for the weak approximation of parabolic semilinear stochastic PDEs driven by additive space-time white noise. The new method can easily be combined with a finite difference method for the spatial discretization. The proposed method is shown to have improved qualitative properties compared with the standard method. First, for any time-step size, the spatial regularity of the solution is preserved, at all times. Second, the proposed metho… Show more
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