On stochastic finite difference schemes
Cauchy problemdegenerate parabolic stochastic partial differential equationerror estimateextrapolation to the limitfinite differencesRichardson's method
Degenerate parabolic equations (35K65) PDEs with randomness, stochastic partial differential equations (35R60) 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 difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
A linear degenerate parabolic stochastic partial differential equation with multiplicative noise on \(\mathbb{R}^d\) is considered. The finite difference approximation of the solution is shown to have an asymptotic expansion in supremum norm in space and time dimension and \(p\)-norm in the stochastic variable under appropriate smoothness assumptions. This is applied to prove error estimates of the Richardson extrapolation of the finite difference approximation.
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- Approximation of stochastic parabolic differential equations with two different finite difference schemes
- Higher order spatial approximations for degenerate parabolic stochastic partial differential equations
- Mean square convergent three and five points finite difference scheme for stochastic parabolic partial differential equations
- Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space
- Accelerated finite difference schemes for second order degenerate elliptic and parabolic problems in the whole space
- Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations
- Convergence acceleration during the 20th century
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Higher order spatial approximations for degenerate parabolic stochastic partial differential equations
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- Numerical error for SDE: Asymptotic expansion and hyperdistributions
- On finite difference schemes for degenerate stochastic parabolic partial differential equations
- On the splitting-up method and stochastic partial differential equations
- Practical Extrapolation Methods
- Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations
- Stochastic evolution equations
- Survey of Extrapolation Processes in Numerical Analysis
- The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
- The stochastic finite volume method
- Approximation of stochastic parabolic differential equations with two different finite difference schemes
- Finite element methods for parabolic stochastic PDE's
- Stochastic PDEs on graphs as scaling limits of discrete interacting systems
- Accelerated finite elements schemes for parabolic stochastic partial differential equations
- On finite difference schemes for degenerate stochastic parabolic partial differential equations
- On finite difference schemes for partial integro-differential equations of Lévy type
- Kernel-based collocation methods for Zakai equations
- On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
- Approximation of stochastic advection diffusion equations with finite difference scheme
- On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
- Localization errors in solving stochastic partial differential equations in the whole space
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- Finite difference schemes for linear stochastic integro-differential equations
- Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods.
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- Finite difference schemes for stochastic partial differential equations in Sobolev spaces
- Mean square convergent three and five points finite difference scheme for stochastic parabolic partial differential equations
- Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp>
- Elastodynamic problem on tensor random fields with fractal and Hurst effects
- Model reduction for stochastic systems with nonlinear drift
- Stochastic partial differential equations arising in self-organized criticality
- Optimal convergence of a direct discontinuous Galerkin scheme for stochastic problems of convection-diffusion type
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