A finite element method for martingale-driven stochastic partial differential equations
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
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- Monte Carlo Euler approximations of HJM term structure financial models
- Mean square convergent three points finite difference scheme for random partial differential equations
- Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
- Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
- Full-discrete finite element method for the stochastic elastic equation driven by additive noise
- Weak convergence of finite element method for stochastic elastic equation driven by additive noise
- Type II singular perturbation approximation for linear systems with Lévy noise
- Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization
- The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
- An antithetic multilevel Monte Carlo-Milstein scheme for stochastic partial differential equations with non-commutative noise
- Stochastic transport with Lévy noise fully discrete numerical approximation
- A Lax equivalence theorem for stochastic differential equations
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