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

DOI10.1007/s00245-012-9176-yzbMath1260.60134OpenAlexW1985917877MaRDI QIDQ1935507

Andrea Barth, Annika Lang

Publication date: 18 February 2013

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

Full work available at URL: http://hdl.handle.net/20.500.11850/59148

zbMATH Keywords

Galerkin methodfinite element methodmartingalestochastic partial differential equationZakai equationMilstein schemeKarhunen-Loève expansionadvection-diffusion PDEnonequidistant time stepping

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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