Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise

DOI10.1023/A:1017998901460MaRDI QIDQ1376530zbMATHOpenAlexFDO

Authors István Gyöngy, David Nualart

Publication date 18 August 1998

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1017998901460

zbMATH Keywords

Malliavin calculusnumerical methodsstochastic partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(35)

• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet
• Numerical approximation of nonlinear SPDE's
• Weak order for the discretization of the stochastic heat equation
• Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Numerical approximation for a white noise driven SPDE with locally bounded drift
• The implicit scheme for Navier-Stokes equations driven by space-time white noise
• Weak approximation of stochastic partial differential equations: the nonlinear case
• An analysis of the L1 scheme for stochastic subdiffusion problem driven by integrated space-time white noise
• scientific article; zbMATH DE number 6613441 (Why is no real title available?)
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• Space semi-discretisations for a stochastic wave equation
• On the splitting-up method and stochastic partial differential equations
• A full discretization of the rough fractional linear heat equation
• An integration factor method for stochastic and stiff reaction-diffusion systems
• Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise
• A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure
• SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
• An IMEX finite element method for a linearized Cahn-Hilliard-Cook equation driven by the space derivative of a space-time white noise
• On the discretization in time of parabolic stochastic partial differential equations
• Numerical simulation of the stochastic Korteweg-de Vries equation
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• The numerical approximation of stochastic partial differential equations
• A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere
• Some stability results for semilinear stochastic heat equation driven by a fractional noise
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Meshless simulation of stochastic advection-diffusion equations based on radial basis functions
• Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• Numerical approximation for stochastic nonlinear fractional diffusion equation driven by rough noise
• Finite element methods for parabolic stochastic PDE's

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