Postprocessing for Stochastic Parabolic Partial Differential Equations

DOI10.1137/050640138MaRDI QIDQ5386202zbMATH OpenOpenAlexFDO

Authors Tony Shardlow, Gabriel J. Lord

Publication date 22 April 2008

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050640138

zbMATH Keywords

numerical solution of stochastic PDEspostprocessingstochastic exponential integrator

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cited in

(14)

• 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
• Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise
• Spectral collocation method for stochastic Burgers equation driven by additive noise
• Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
• A Milstein scheme for SPDEs
• Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition
• High order integrator for sampling the invariant distribution of a class of parabolic stochastic PDEs with additive space-time noise
• Numerical approximation of multiplicative SPDEs
• A local discontinuous Galerkin method for nonlinear parabolic SPDEs
• Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• The numerical approximation of stochastic partial differential equations
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations

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