Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
Publication:1935507
DOI10.1007/s00245-012-9176-yzbMath1260.60134OpenAlexW1985917877MaRDI QIDQ1935507
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
Galerkin methodfinite element methodmartingalestochastic partial differential equationZakai equationMilstein schemeKarhunen-Loève expansionadvection-diffusion PDEnonequidistant time stepping
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)
Related Items (23)
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