Numerical analysis for stochastic partial differential delay equations with jumps (Q369701): Difference between revisions
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Summary: We investigate the convergence rate of Euler-Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponential integrator. We generalize some results of \textit{J. Bao} et al. [J. Comput. Appl. Math. 236, No. 2, 119--131 (2011; Zbl 1236.65005)] and \textit{N. Jacob} et al. [Stochastic Anal. Appl. 27, No. 4, 825--853 (2009; Zbl 1168.60356)] in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions. | |||
| Property / review text: Summary: We investigate the convergence rate of Euler-Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponential integrator. We generalize some results of \textit{J. Bao} et al. [J. Comput. Appl. Math. 236, No. 2, 119--131 (2011; Zbl 1236.65005)] and \textit{N. Jacob} et al. [Stochastic Anal. Appl. 27, No. 4, 825--853 (2009; Zbl 1168.60356)] in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65M75 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H15 / rank | |||
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| Property / zbMATH DE Number: 6209168 / rank | |||
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Revision as of 12:31, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical analysis for stochastic partial differential delay equations with jumps |
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Numerical analysis for stochastic partial differential delay equations with jumps (English)
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19 September 2013
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Summary: We investigate the convergence rate of Euler-Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponential integrator. We generalize some results of \textit{J. Bao} et al. [J. Comput. Appl. Math. 236, No. 2, 119--131 (2011; Zbl 1236.65005)] and \textit{N. Jacob} et al. [Stochastic Anal. Appl. 27, No. 4, 825--853 (2009; Zbl 1168.60356)] in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions.
0 references
