SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations (Q4641714): Difference between revisions

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scientific article; zbMATH DE number 6870208

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English	SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations	scientific article; zbMATH DE number 6870208

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instance of

scholarly article

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title

SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations (English)

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18 May 2018

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full work available at URL

https://arxiv.org/abs/1608.00885

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zbMATH Keywords

stochastic partial differential equations

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reflected SPDE

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finite difference method

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finite element method

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continuous-time random walk

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Markov chain approximation method

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geometric ergodicity

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long-time simulation

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SPDE with boundary conditions

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describes a project that uses

MesoRD

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MaRDI profile type

MaRDI publication profile

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cites work

Q5493534

0 references

Sampling the posterior: an approach to non-Gaussian data assimilation

0 references

MCMC METHODS FOR DIFFUSION BRIDGES

0 references

Galerkin Approximations for the Stochastic Burgers Equation

0 references

Metropolis Integration Schemes for Self-Adjoint Diffusions

0 references

Nonasymptotic mixing of the MALA algorithm

0 references

Randomized Hamiltonian Monte Carlo

0 references

Pathwise accuracy and ergodicity of metropolized integrators for SDEs

0 references

A patch that imparts unconditional stability to explicit integrators for Langevin-like equations

0 references

Interest rate models: an infinite dimensional stochastic analysis perspective

0 references

Second order PDE's in finite and infinite dimension

0 references

MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH

0 references

THE KARDAR–PARISI–ZHANG EQUATION AND UNIVERSALITY CLASS

0 references

Ergodicity for the 3D stochastic Navier-Stokes equations

0 references

Stochastic Equations in Infinite Dimensions

0 references

Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations

0 references

Stochastic evolution equations

0 references

Stochastic Cahn–Hilliard Equation with Double Singular Nonlinearities and Two Reflections

0 references

Conservative stochastic Cahn-Hilliard equation with reflection

0 references

Equilibrium fluctuation of the Atlas model

0 references

Topics in the Theory of Markoff Chains

0 references

Markoff Chains--Denumerable Case

0 references

Invariant measures for Burgers equation with stochastic forcing

0 references

Statistical theory for the stochastic Burgers equation in the inviscid limit

0 references

Q3721531

0 references

Error analysis of the transport properties of Metropolized schemes

0 references

Q5808714

0 references

Diffusion Processes in Population Biology

0 references

The scaling limit for a stochastic PDE and the separation of phases

0 references

Fluctuations for \(\nabla \varphi \) interface model on a wall.

0 references

Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise

0 references

Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise

0 references

Solving the KPZ equation

0 references

A spatial version of the Itō-Stratonovich correction

0 references

Approximating Rough Stochastic PDEs

0 references

Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing

0 references

Analysis of SPDEs arising in path sampling. II: The nonlinear case

0 references

Analysis of SPDEs arising in path sampling. I: The Gaussian case

0 references

Approximations to the stochastic Burgers equation

0 references

Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics

0 references

Incorporating Diffusion in Complex Geometries into Stochastic Chemical Kinetics Simulations

0 references

The numerical approximation of stochastic partial differential equations

0 references

Q4002114

0 references

Dynamic Scaling of Growing Interfaces

0 references

Q3091370

0 references

Q4714065

0 references

Action minimization and sharp-interface limits for the stochastic Allen-Cahn equation

0 references

Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE

0 references

Probability limit theorems and the convergence of finite difference approximations of partial differential equations

0 references

Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes

0 references

Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions

0 references

Probability methods for approximations in stochastic control and for elliptic equations

0 references

Q2730383

0 references

Numerical Approximations for Stochastic Differential Games

0 references

Numerical Approximations for Stochastic Differential Games: The Ergodic Case

0 references

Numerical approximations for stochastic systems with delays in the state and control

0 references

Numerical methods for controls for nonlinear stochastic systems with delays and jumps: applications to admission control

0 references

Q2703816

0 references

Probability methods for the convergence of finite difference approximations to partial differential equations

0 references

The approximate calculation of invariant measures of diffusions via finite difference approximations to degenerate elliptic partial differential equations

0 references

Q3639223

0 references

A structure-preserving numerical discretization of reversible diffusions

0 references

An Introduction to Computational Stochastic PDEs

0 references

Analysis and Design of Jump Coefficients in Discrete Stochastic Diffusion Models

0 references

Transition Path Theory for Markov Jump Processes

0 references

Stochastic Navier--Stokes Equations for Turbulent Flows

0 references

Q4826106

0 references

White noise driven quasilinear SPDEs with reflection

0 references

Ergodicity for Infinite Dimensional Systems

0 references

Q4435813

0 references

Q5265151

0 references

Q4226355

0 references

Invariant measures of stochastic partial differential equations and conditioned diffusions

0 references

Exponential convergence of Langevin distributions and their discrete approximations

0 references

Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms

0 references

Conditional path sampling of SDEs and the Langevin MCMC method

0 references

Q4856695

0 references

Finite element methods for parabolic stochastic PDE's

0 references

A robust numerical algorithm for studying biomolecular transport processes

0 references

Sharp interface limit for invariant measures of a stochastic Allen-Cahn equation

0 references

Identifiers

zbMATH Open document ID

1407.60084

0 references

DOI

10.1137/16M1089034

0 references

Mathematics Subject Classification ID

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0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

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@@ Property / cites work: Q5493534 / rank @@
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@@ Property / cites work @@
+Sampling the posterior: an approach to non-Gaussian data assimilation
+Normal rank
@@ Property / cites work @@
+MCMC METHODS FOR DIFFUSION BRIDGES
@@ Property / cites work: MCMC METHODS FOR DIFFUSION BRIDGES / rank @@
+Normal rank
@@ Property / cites work @@
+Galerkin Approximations for the Stochastic Burgers Equation
+Normal rank
@@ Property / cites work @@
+Metropolis Integration Schemes for Self-Adjoint Diffusions
+Normal rank
@@ Property / cites work @@
+Nonasymptotic mixing of the MALA algorithm
@@ Property / cites work: Nonasymptotic mixing of the MALA algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+Randomized Hamiltonian Monte Carlo
@@ Property / cites work: Randomized Hamiltonian Monte Carlo / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise accuracy and ergodicity of metropolized integrators for SDEs
+Normal rank
@@ Property / cites work @@
+A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
+Normal rank
@@ Property / cites work @@
+Interest rate models: an infinite dimensional stochastic analysis perspective
+Normal rank
@@ Property / cites work @@
+Second order PDE's in finite and infinite dimension
+Normal rank
@@ Property / cites work @@
+MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
+Normal rank
@@ Property / cites work @@
+THE KARDAR–PARISI–ZHANG EQUATION AND UNIVERSALITY CLASS
+Normal rank
@@ Property / cites work @@
+Ergodicity for the 3D stochastic Navier-Stokes equations
+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic evolution equations
@@ Property / cites work: Stochastic evolution equations / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Cahn–Hilliard Equation with Double Singular Nonlinearities and Two Reflections
+Normal rank
@@ Property / cites work @@
+Conservative stochastic Cahn-Hilliard equation with reflection
+Normal rank
@@ Property / cites work @@
+Equilibrium fluctuation of the Atlas model
@@ Property / cites work: Equilibrium fluctuation of the Atlas model / rank @@
+Normal rank
@@ Property / cites work @@
+Topics in the Theory of Markoff Chains
@@ Property / cites work: Topics in the Theory of Markoff Chains / rank @@
+Normal rank
@@ Property / cites work @@
+Markoff Chains--Denumerable Case
@@ Property / cites work: Markoff Chains--Denumerable Case / rank @@
+Normal rank
@@ Property / cites work @@
+Invariant measures for Burgers equation with stochastic forcing
+Normal rank
@@ Property / cites work @@
+Statistical theory for the stochastic Burgers equation in the inviscid limit
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Error analysis of the transport properties of Metropolized schemes
+Normal rank
@@ Property / cites work @@
+Q5808714
@@ Property / cites work: Q5808714 / rank @@
+Normal rank
@@ Property / cites work @@
+Diffusion Processes in Population Biology
@@ Property / cites work: Diffusion Processes in Population Biology / rank @@
+Normal rank
@@ Property / cites work @@
+The scaling limit for a stochastic PDE and the separation of phases
+Normal rank
@@ Property / cites work @@
+Fluctuations for \(\nabla \varphi \) interface model on a wall.
+Normal rank
@@ Property / cites work @@
+Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
+Normal rank
@@ Property / cites work @@
+Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise
+Normal rank
@@ Property / cites work @@
+Solving the KPZ equation
@@ Property / cites work: Solving the KPZ equation / rank @@
+Normal rank
@@ Property / cites work @@
+A spatial version of the Itō-Stratonovich correction
+Normal rank
@@ Property / cites work @@
+Approximating Rough Stochastic PDEs
@@ Property / cites work: Approximating Rough Stochastic PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing
+Normal rank
@@ Property / cites work @@
+Analysis of SPDEs arising in path sampling. II: The nonlinear case
+Normal rank
@@ Property / cites work @@
+Analysis of SPDEs arising in path sampling. I: The Gaussian case
+Normal rank
@@ Property / cites work @@
+Approximations to the stochastic Burgers equation
@@ Property / cites work: Approximations to the stochastic Burgers equation / rank @@
+Normal rank
@@ Property / cites work @@
+Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
+Normal rank
@@ Property / cites work @@
+Incorporating Diffusion in Complex Geometries into Stochastic Chemical Kinetics Simulations
+Normal rank
@@ Property / cites work @@
+The numerical approximation of stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Scaling of Growing Interfaces
@@ Property / cites work: Dynamic Scaling of Growing Interfaces / rank @@
+Normal rank
@@ Property / cites work @@
+Q3091370
@@ Property / cites work: Q3091370 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4714065
@@ Property / cites work: Q4714065 / rank @@
+Normal rank
@@ Property / cites work @@
+Action minimization and sharp-interface limits for the stochastic Allen-Cahn equation
+Normal rank
@@ Property / cites work @@
+Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE
+Normal rank
@@ Property / cites work @@
+Probability limit theorems and the convergence of finite difference approximations of partial differential equations
+Normal rank
@@ Property / cites work @@
+Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes
+Normal rank
@@ Property / cites work @@
+Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions
+Normal rank
@@ Property / cites work @@
+Probability methods for approximations in stochastic control and for elliptic equations
+Normal rank
@@ Property / cites work @@
+Q2730383
@@ Property / cites work: Q2730383 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Approximations for Stochastic Differential Games
+Normal rank
@@ Property / cites work @@
+Numerical Approximations for Stochastic Differential Games: The Ergodic Case
+Normal rank
@@ Property / cites work @@
+Numerical approximations for stochastic systems with delays in the state and control
+Normal rank
@@ Property / cites work @@
+Numerical methods for controls for nonlinear stochastic systems with delays and jumps: applications to admission control
+Normal rank
@@ Property / cites work @@
+Q2703816
@@ Property / cites work: Q2703816 / rank @@
+Normal rank
@@ Property / cites work @@
+Probability methods for the convergence of finite difference approximations to partial differential equations
+Normal rank
@@ Property / cites work @@
+The approximate calculation of invariant measures of diffusions via finite difference approximations to degenerate elliptic partial differential equations
+Normal rank
@@ Property / cites work @@
+Q3639223
@@ Property / cites work: Q3639223 / rank @@
+Normal rank
@@ Property / cites work @@
+A structure-preserving numerical discretization of reversible diffusions
+Normal rank
@@ Property / cites work @@
+An Introduction to Computational Stochastic PDEs
@@ Property / cites work: An Introduction to Computational Stochastic PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis and Design of Jump Coefficients in Discrete Stochastic Diffusion Models
+Normal rank
@@ Property / cites work @@
+Transition Path Theory for Markov Jump Processes
@@ Property / cites work: Transition Path Theory for Markov Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Navier--Stokes Equations for Turbulent Flows
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+White noise driven quasilinear SPDEs with reflection
+Normal rank
@@ Property / cites work @@
+Ergodicity for Infinite Dimensional Systems
@@ Property / cites work: Ergodicity for Infinite Dimensional Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5265151
@@ Property / cites work: Q5265151 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Invariant measures of stochastic partial differential equations and conditioned diffusions
+Normal rank
@@ Property / cites work @@
+Exponential convergence of Langevin distributions and their discrete approximations
+Normal rank
@@ Property / cites work @@
+Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
+Normal rank
@@ Property / cites work @@
+Conditional path sampling of SDEs and the Langevin MCMC method
+Normal rank
@@ Property / cites work @@
+Q4856695
@@ Property / cites work: Q4856695 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite element methods for parabolic stochastic PDE's
+Normal rank
@@ Property / cites work @@
+A robust numerical algorithm for studying biomolecular transport processes
+Normal rank
@@ Property / cites work @@
+Sharp interface limit for invariant measures of a stochastic Allen-Cahn equation
+Normal rank
@@ Property / OpenAlex ID @@
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