Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise

DOI10.1098/rspa.2008.0325zbMath1186.65011OpenAlexW2163264365MaRDI QIDQ3561862

Arnulf Jentzen, Peter E. Kloeden

Publication date: 19 May 2010

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2008.0325

zbMATH Keywords

Galerkin approximationexponential Euler schemeparabolic stochastic partial differential equationcomputational order barrier

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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