The Annals of Probability, Vol. 34, No. 2 (Mar., 2006), pp. 663-727 (65 pages) We develop a new method to uniquely solve a large class of heat equations, so-called Kolmogorov equations in infinitely ...

This paper is concerned with the numerical approximation of some linear stochastic partial differential equations with additive noises. A special representation of the noise is considered, and it is ...