Lattice Approximations of SPDEs with Two Reflecting Walls
An approximation scheme for stochastic partial differential equations with two reflecting walls h1,h2,driven by space-time white noise is studied.The lattice approximation scheme is used to study the convergence.A reflected SDE system is constructed to approximate the stochastic partial differential equations.Furthermore,a two-stage approximation method is applied to study the strong convergence of the scheme.A numerical scheme for reflected SPDE is also established.
stochastic partial differential equation with reflectiondeterministic obstacle problemsSkorohod-type problems on time-dependent domainsconvergence in the sense of distributions
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