Approximation schemes for viscosity solutions of fully nonlinear stochastic partial differential equations

DOI10.1214/19-AAP1543MaRDI QIDQ6828692zbMATH OpenFDO

Authors Benjamin Seeger

Publication date 18 March 2021

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/19-AAP1543

zbMATH Keywords

error estimatesfinite difference schemesmonotone schemessplitting formulaestochastic viscosity solutions

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) White noise theory (60H40) Regularization by noise (60H50) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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