Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

DOI10.1007/s10543-017-0684-7zbMath1418.65005arXiv1702.07700OpenAlexW2597270963WikidataQ59607572 ScholiaQ59607572MaRDI QIDQ1689310

Annika Lang, Andreas Petersson, Andreas Thalhammer

Publication date: 12 January 2018

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07700

zbMATH Keywords

Lévy processesfinite element methodsGalerkin methodsspectral methodsMilstein schemerational approximationsEuler-Maruyama schemeasymptotic mean-square stabilitylinear stochastic partial differential equationsnumerical approximations of stochastic differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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