The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds

DOI10.1016/J.CAM.2010.08.011zbMath1208.65017OpenAlexW2114195240MaRDI QIDQ609211

Andreas Neuenkirch, Peter E. Kloeden, Gabriel J. Lord, Tony Shardlow

Publication date: 30 November 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.08.011

zbMATH Keywords

Galerkin methodnumerical approximationstochastic partial differential equationAllen-Cahn equationpathwise convergencestochastic exponential integrator

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) 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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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