Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

DOI10.1007/s10543-017-0684-7zbMath1418.65005arXiv1702.07700WikidataQ59607572 ScholiaQ59607572MaRDI QIDQ1689310

Annika Lang, Andreas Petersson, Andreas Thalhammer

Publication date: 12 January 2018

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07700

zbMATH Keywords

Lévy processes; finite element methods; Galerkin methods; spectral methods; Milstein scheme; rational approximations; Euler-Maruyama scheme; asymptotic mean-square stability; linear stochastic partial differential equations; numerical approximations of stochastic differential equations

Mathematics Subject Classification ID

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs

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