Section: New Results
Weak approximation of stochastic partial differential equations
Participant : J. Printems.
It is well known that SPDE appear in interest rate models (e.g. HJM-Musiela equations). Our aim here is to study a fully discrete approximation by means of finite elements in space and an implicite scheme in time of a parabolic stochastic partial differential equation in order to approximate the expectation of a functional of the solution (weak approximation). In  , we show that optimal rates of convergence can be obtained both in time and in space without stability conditions on the time and space steps.