Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise (Q4581904)

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scientific article; zbMATH DE number 6921480
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Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise
scientific article; zbMATH DE number 6921480

    Statements

    Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise (English)
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    21 August 2018
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    Milstein scheme
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    stochastic partial differential equation
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    SPDE
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    stochastic differential equation
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    SDE
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    numerical approximation
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    higher-order approximation
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    derivative-free approximation
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    commutative noise
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    \(Q\)-Wiener process
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    stochastic evolution equation
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