Barth, Andrea; Lang, Annika - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1563-1587
In this paper, Lp convergence and almost sure convergence of the Milstein approximation of a partial differential equation of advection–diffusion type driven by a multiplicative continuous martingale is proven. The (semidiscrete) approximation in space is a projection onto a finite dimensional...