\(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations

DOI10.1016/j.spa.2013.01.003zbMath1263.60063OpenAlexW2047368043MaRDI QIDQ1947594

Annika Lang, Andrea Barth

Publication date: 22 April 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.01.003

zbMATH Keywords

Galerkin methodfinite element methodalmost sure convergencestochastic partial differential equationadvection-diffusion equationMilstein schemebackward Euler scheme\(L^{p}\) convergence

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts, Mean square convergent three points finite difference scheme for random partial differential equations, An Exponential Wagner--Platen Type Scheme for SPDEs, 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, A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes, Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales, Multilevel Monte Carlo method for parabolic stochastic partial differential equations, Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients, Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE, Simulation of stochastic partial differential equations using finite element methods, Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise, Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE, A Lax equivalence theorem for stochastic differential equations, The forward dynamics in energy markets – infinite-dimensional modelling and simulation, A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations, A Milstein scheme for SPDEs