A Milstein scheme for SPDEs (Q2351803)

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English	A Milstein scheme for SPDEs	scientific article

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scholarly article

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A Milstein scheme for SPDEs (English)

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Michael Roeckner

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Foundations of Computational Mathematics

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publication date

26 June 2015

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full work available at URL

https://arxiv.org/abs/1001.2751

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zbMATH Keywords

stochastic partial differential equations

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Milstein scheme

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stochastic heat equation

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stochastic reaction-diffusion equations

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stochastic Burgers equation

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MaRDI profile type

MaRDI publication profile

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Finite element and difference approximation of some linear stochastic partial differential equations

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Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations

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

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Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

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Multilevel Monte Carlo method for parabolic stochastic partial differential equations

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Approximation of the Zakaï Equation by the Splitting up Method

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Approximation of some stochastic differential equations by the splitting up method

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Galerkin Approximations for the Stochastic Burgers Equation

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Stochastic Burgers' equation

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Stochastic burgers equation with correlated noise

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A mild Itô formula for SPDEs

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Stochastic Equations in Infinite Dimensions

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Ergodicity for Infinite Dimensional Systems

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Weak approximation of stochastic partial differential equations: the nonlinear case

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Weak order for the discretization of the stochastic heat equation

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Numerical Approximation of Some Linear Stochastic Partial Differential Equations Driven by Special Additive Noises

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Time-discretization of the zakai equation for diffusion processes observed in correlated noise

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Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise

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Multilevel Monte Carlo Path Simulation

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Time-discretised Galerkin approximations of parabolic stochastic PDE's

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Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I

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A note on Euler's approximations

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Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II

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On the splitting-up method and stochastic partial differential equations

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An Accelerated Splitting-up Method for Parabolic Equations

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On numerical solution of stochastic partial differential equations of elliptic type

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Approximations to the stochastic Burgers equation

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Numerical analysis of semilinear stochastic evolution equations in Banach spaces

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Approximation for semilinear stochastic evolution equations

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Finite Element Approximation of Stochastic Partial Differential Equations driven by Poisson Random Measures of Jump Type

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Monte Carlo complexity of global solution of integral equations

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Approximation of the Kushner Equation for Nonlinear Filtering

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Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients

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Taylor expansions of solutions of stochastic partial differential equations

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

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Taylor expansions of solutions of stochastic partial differential equations with additive noise

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Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients

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Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise

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Noise regularization and computations for the 1-dimensional stochastic Allen-Cahn problem

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Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs

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Fully-discrete finite element approximations for a fourth-order linear stochastic parabolic equation with additive space-time white noise

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Strong convergence of the finite element method with truncated noise for semilinear parabolic stochastic equations with additive noise

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Finite Element Approximation of the Linear Stochastic Wave Equation with Additive Noise

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Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

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A numerical scheme for stochastic PDEs with Gevrey regularity

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Postprocessing for Stochastic Parabolic Partial Differential Equations

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A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise

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On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

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Approximate Integration of Stochastic Differential Equations

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An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise

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Lower bounds and nonuniform time discretization for approximation of stochastic heat equations

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OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES

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Numerical approximation for a white noise driven SPDE with locally bounded drift

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A concise course on stochastic partial differential equations

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On the discretization in time of parabolic stochastic partial differential equations

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An introduction to partial differential equations

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Difference Methods for Stochastic Partial Differential Equations

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A Combination of Finite Difference and Wong-Zakai Methods for Hyperbolic Stochastic Partial Differential Equations

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Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation

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Dynamics of evolutionary equations

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Numerical methods for stochastic parabolic PDEs

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Finite element methods for parabolic stochastic PDE's

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On numerical solutions of the stochastic wave equation

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A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise

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Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations

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Identifiers

zbMATH Open document ID

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10.1007/s10208-015-9247-y

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2351803

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