An Exponential Wagner--Platen Type Scheme for SPDEs (Q3188304): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	An Exponential Wagner--Platen Type Scheme for SPDEs	scientific article

Statements

scholarly article

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An Exponential Wagner--Platen Type Scheme for SPDEs (English)

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Sebastian Becker

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Peter E. Kloeden

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SIAM Journal on Numerical Analysis

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publication date

18 August 2016

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full work available at URL

https://arxiv.org/abs/1309.4648

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zbMATH Keywords

stochastic partial differential equations

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exponential Wagner-Platen scheme

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strong convergence

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MaRDI profile type

MaRDI publication profile

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Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

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\(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations

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Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition

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Full discretization of the stochastic Burgers equation with correlated noise

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The pathwise numerical approximation of stationary solutions of semilinear stochastic evolution equations

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Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise

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A mild Itô formula for SPDEs

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Stochastic Equations in Infinite Dimensions

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

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Numerical schemes for rough parabolic equations

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Weakly Singular Discrete Gronwall Inequalities

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Time-discretization of the zakai equation for diffusion processes observed in correlated noise

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Time-discretised Galerkin approximations of parabolic stochastic PDE's

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On the splitting-up method and stochastic partial differential equations

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Numerical analysis of semilinear stochastic evolution equations in Banach spaces

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Approximation for semilinear stochastic evolution equations

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Geometric theory of semilinear parabolic equations

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Higher Order Pathwise Numerical Approximations of SPDEs with Additive Noise

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Efficient simulation of nonlinear parabolic SPDEs with additive noise

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The numerical approximation of stochastic partial differential equations

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Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise

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Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise

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A Milstein scheme for SPDEs

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Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs

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

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Optimal error estimates of Galerkin finite element methods for stochastic partial differential equations with multiplicative noise

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Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

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A numerical scheme for stochastic PDEs with Gevrey regularity

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A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise

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Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise

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A random map implementation of implicit filters

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An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise

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Lower bounds and nonuniform time discretization for approximation of stochastic heat equations

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OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES

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Dynamics of evolutionary equations

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A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise

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Higher Order Strong Approximations of Semilinear Stochastic Wave Equation with Additive Space-time White Noise

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Identifiers

zbMATH Open document ID

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10.1137/15M1008762

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3188304

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