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

DOI10.1023/A:1008699504438zbMATH Open0944.60074OpenAlexW1584311562MaRDI QIDQ1300248FDOQ1300248

István Gyöngy

Publication date: 18 September 2000

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008699504438

zbMATH Keywords

stochastic partial differential equationsstrong convergenceLipschitz continuityfinite difference approximations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inverse problems for PDEs (35R30) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (98)

• A first order semi-discrete algorithm for backward doubly stochastic differential equations
• On the regularization effect of space-time white noise on quasi-linear parabolic partial differential equations
• On numerical solution of stochastic partial differential equations of elliptic type
• Spatial approximation of stochastic convolutions
• Space semi-discretisations for a stochastic wave equation
• Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise
• A Milstein scheme for SPDEs
• Lattice approximation to the dynamical \(\Phi_{3}^{4}\) model
• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
• On the well-posedness of the stochastic Allen-Cahn equation in two dimensions
• Domain decomposition methods for linear and semilinear elliptic stochastic partial differential equations
• Numerical approximation of multiplicative SPDEs
• A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
• Mesoscopic simulation of Ostwald ripening
• Galerkin finite element method for time-fractional stochastic diffusion equations
• The roughness and smoothness of numerical solutions to the stochastic heat equation
• MCMC METHODS FOR DIFFUSION BRIDGES
• The numerical approximation of stochastic partial differential equations
• Numerical schemes for rough parabolic equations
• Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise
• On the discretization in time of parabolic stochastic partial differential equations
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• Cubature on Wiener space in infinite dimension
• Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces
• Optimal rate of convergence for stochastic Burgers-type equations
• Rate of convergence of space time approximations for stochastic evolution equations
• The role of coefficients of a general SPDE on the stability and convergence of a finite difference method
• Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
• Weak order for the discretization of the stochastic heat equation
• Weak approximation of stochastic partial differential equations: the nonlinear case
• Finite difference schemes for linear stochastic integro-differential equations
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Empirical Regression Method for Backward Doubly Stochastic Differential Equations
• Finite element methods for parabolic stochastic PDE's
• Numerical approximation for a white noise driven SPDE with locally bounded drift
• Finite element methods for semilinear elliptic stochastic partial differential equations
• On discretization schemes for stochastic evolution equations
• Finite element method and discontinuous Galerkin method for stochastic scattering problem of Helmholtz type in \(\mathbb R^{d} (d =2, 3)\)
• Taylor expansions of solutions of stochastic partial differential equations with additive noise
• Approximating Rough Stochastic PDEs
• A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure
• Weak intermittency of stochastic heat equation under discretizations
• First derivatives estimates for finite-difference schemes
• Analysis and approximation of stochastic nerve axon equations
• Numerical solution of stochastic fractional differential equations
• Weak approximation of the stochastic wave equation
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise
• Efficient simulation of nonlinear parabolic SPDEs with additive noise
• Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise
• Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
• Refined existence and regularity results for a class of semilinear dissipative SPDEs
• A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere
• A mild Itô formula for SPDEs
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise
• Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• Numerical multi-scaling method to solve the linear stochastic partial differential equations
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift
• Probabilistic methods for semilinear partial differential equations. Applications to finance
• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• Nonlinear Constitutive Models for Nano-Scale Heat Conduction
• Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• Numerical solution of a model for stochastic polymer equation driven by space-time Brownian motion via homotopy perturbation method
• Time-like Graphical Models
• Strong convergence of parabolic rate 1 of discretisations of stochastic Allen-Cahn-type equations
• L2-regularity result for solutions of backward doubly stochastic differential equations
• Title not available (Why is that?)
• Sharp error estimates for spatial-temporal finite difference approximations to fractional sub-diffusion equation without regularity assumption on the exact solution
• Title not available (Why is that?)
• Identification of a time-dependent control parameter for a stochastic diffusion equation
• Convergence rate for Galerkin approximation of the stochastic Allen-Cahn equations on 2D torus
• An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation
• Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Model reduction for stochastic systems with nonlinear drift
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises
• Title not available (Why is that?)
• Approximating 3D Navier–Stokes equations driven by space-time white noise
• A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
• Improved error estimates for a modified exponential Euler method for the semilinear stochastic heat equation with rough initial data
• 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
• Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise
• An analysis of the L1 scheme for stochastic subdiffusion problem driven by integrated space-time white noise
• The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations
• An efficient numerical algorithm for the model describing the competition between super- and sub-diffusions driven by fractional Brownian sheet noise
• Numerical approximation for stochastic nonlinear fractional diffusion equation driven by rough noise
• Compact finite difference method to numerically solving a stochastic fractional advection-diffusion equation
• A full discretization of the rough fractional linear heat equation
• Title not available (Why is that?)
• A First Order Scheme for Backward Doubly Stochastic Differential Equations
• An invariance principle for the stochastic heat equation

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