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

DOI10.1023/A:1017998901460zbMATH Open0893.60033OpenAlexW2577654994MaRDI QIDQ1376530FDOQ1376530

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

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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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• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
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• Weak approximation of stochastic partial differential equations: the nonlinear case
• Finite element methods for parabolic stochastic PDE's
• Numerical approximation for a white noise driven SPDE with locally bounded drift
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
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• 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
• Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise
• An analysis of the L1 scheme for stochastic subdiffusion problem driven by integrated space-time white noise
• A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere
• Numerical simulation of the stochastic Korteweg-de Vries equation
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• Numerical approximation for stochastic nonlinear fractional diffusion equation driven by rough noise
• A full discretization of the rough fractional linear heat equation
• Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet
• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• An IMEX finite element method for a linearized Cahn-Hilliard-Cook equation driven by the space derivative of a space-time white noise
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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