Numerical methods for stochastic parabolic PDEs
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convergencefinite differenceinitial value problemnonlinear stochastic partial differential equationnumerical experimentsWiener process
Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99) 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)
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Cited in
(81)- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
- New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts
- A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere
- Meshless simulation of stochastic advection-diffusion equations based on radial basis functions
- A simplified Milstein scheme for SPDEs with multiplicative noise
- A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
- Numerical simulation of stochastic PDEs for excitable media
- Numerical approximation for a white noise driven SPDE with locally bounded drift
- Numerical analysis of semilinear stochastic evolution equations in Banach spaces
- Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
- The roughness and smoothness of numerical solutions to the stochastic heat equation
- A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
- An approximation of semigroups method for stochastic parabolic equations
- Numerical multi-scaling method to solve the linear stochastic partial differential equations
- Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems
- Convergence analysis of constraint energy minimizing generalized multiscale finite element method for a linear stochastic parabolic partial differential equation driven by additive noises
- A Milstein scheme for SPDEs
- On a perturbation method for stochastic parabolic PDE
- Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise
- Space semi-discretisations for a stochastic wave equation
- Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition
- A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations
- Analysis and approximation of stochastic nerve axon equations
- Numerical solution for a class of SPDEs over bounded domains
- Weak order for the discretization of the stochastic heat equation
- Weak approximation of stochastic partial differential equations: the nonlinear case
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
- Some stochastic particle methods for nonlinear parabolic PDEs
- A stabilization phenomenon for a class of stochastic partial differential equations
- Numerical solution of Wick-stochastic partial differential equations
- scientific article; zbMATH DE number 4160092 (Why is no real title available?)
- On Modified Crank–Nicholson Difference Schemes for Stochastic Parabolic Equation
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
- Weak convergence of finite element method for stochastic elastic equation driven by additive noise
- Stationary in distributions of numerical solutions for stochastic partial differential equations with Markovian switching
- scientific article; zbMATH DE number 19383 (Why is no real title available?)
- On the well-posedness of the stochastic Allen-Cahn equation in two dimensions
- scientific article; zbMATH DE number 1241978 (Why is no real title available?)
- scientific article; zbMATH DE number 1248480 (Why is no real title available?)
- Numerical solution of stochastic hyperbolic equations
- Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
- A numerical scheme for stochastic PDEs with Gevrey regularity
- scientific article; zbMATH DE number 2119824 (Why is no real title available?)
- scientific article; zbMATH DE number 780705 (Why is no real title available?)
- Numerical approximation of multiplicative SPDEs
- scientific article; zbMATH DE number 7318972 (Why is no real title available?)
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- A finite difference method for stochastic nonlinear second-order boundary-value problems driven by additive noisese
- scientific article; zbMATH DE number 5680008 (Why is no real title available?)
- Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
- Stabilized IMLS based element free Galerkin method for stochastic elliptic partial differential equations
- A mild Itô formula for SPDEs
- Spatial approximation of stochastic convolutions
- Reduced order modeling of some nonlinear stochastic partial differential equations
- Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition
- A Taylor expansion approach for solving partial differential equations with random Neumann boundary conditions
- Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift
- On the discretization in time of parabolic stochastic partial differential equations
- Stochastic PDEs: Convergence to the continuum?
- Numerical approximation of nonlinear SPDE's
- Numerical conservation issues for the stochastic Korteweg-de Vries equation
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- Finite Volume Approximations for Non-linear Parabolic Problems with Stochastic Forcing
- Model reduction for stochastic systems with nonlinear drift
- A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a \(\mathcal{C}^2\) boundary
- The numerical approximation of stochastic partial differential equations
- Numerical analysis of the stochastic FitzHugh-Nagumo model driven by multiplicative noise based on the spectral Galerkin method
- Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
- A note on single-step difference scheme for the solution of stochastic differential equation
- A domain decomposition method for stochastic evolution equations
- Convergence of finite element solutions of stochastic partial integro-differential equations driven by white noise
- A note on the Crank-Nicolson difference scheme for the numerical solution of stochastic parabolic equation
- Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise
- Strong rate of convergence for an Euler-Galerkin discretization of the stochastic nonlocal partial differential equations with delay
- Weak approximation of the stochastic wave equation
- Optimal Error Estimates of a Finite Element Method for Semilinear SPDEs with Additive Noise and Nonsmooth Initial Data
- Numerical algorithms for nonlinear fractional stochastic Volterra-type equation
- Finite element approximation of parabolic SPDEs with Whittle-Matérn noise
- Sharp Error Estimates for a Fully Discrete Finite Element Method for Semilinear SPDEs with Multiplicative Noise and Nonsmooth Initial Data
- A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
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