Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
From MaRDI portal
Publication:5943716
DOI10.1155/S1048953301000053zbMath0988.60066MaRDI QIDQ5943716
Publication date: 10 July 2002
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/49268
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (28)
Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition ⋮ Online Multiscale Model Reduction for Nonlinear Stochastic PDEs with Multiplicative Noise ⋮ A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere ⋮ Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise ⋮ A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure ⋮ An Exponential Wagner--Platen Type Scheme for SPDEs ⋮ The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations ⋮ An integration factor method for stochastic and stiff reaction-diffusion systems ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case ⋮ Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises ⋮ The numerical approximation of stochastic partial differential equations ⋮ Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales ⋮ An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition ⋮ A simplified Milstein scheme for SPDEs with multiplicative noise ⋮ MCMC METHODS FOR DIFFUSION BRIDGES ⋮ Fully-discrete finite element approximations for a fourth-order linear stochastic parabolic equation with additive space-time white noise ⋮ Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise ⋮ Spectral collocation method for stochastic Burgers equation driven by additive noise ⋮ Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients ⋮ Weak approximation of the stochastic wave equation ⋮ An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise ⋮ A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations ⋮ A mild Itô formula for SPDEs ⋮ Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients ⋮ Numerical analysis of semilinear stochastic evolution equations in Banach spaces ⋮ A Milstein scheme for SPDEs ⋮ Stability of random attractors under perturbation and approximation
This page was built for publication: Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
