A splitting algorithm for stochastic partial differential equations driven by linear multiplicative noise

DOI10.1007/s40072-017-0094-5zbMath1387.60095arXiv1612.01816OpenAlexW2610832908MaRDI QIDQ1706667

Viorel Barbu, Michael Roeckner

Publication date: 28 March 2018

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.01816

zbMATH Keywords

maximal monotone operatorstochastic processparabolic stochastic equation

Mathematics Subject Classification ID

Monotone operators and generalizations (47H05) Equations involving nonlinear operators (general) (47J05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (5)

Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise ⋮ Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations ⋮ Approximation of backward stochastic partial differential equations by a splitting-up method ⋮ Theoretical study and numerical simulation of pattern formation in the deterministic and stochastic gray-Scott equations ⋮ A splitting/polynomial chaos expansion approach for stochastic evolution equations

Cites Work

• An operatorial approach to stochastic partial differential equations driven by linear multiplicative noise
• On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
• Produits infinis de resolvantes
• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• Splitting Algorithms for the Sum of Two Nonlinear Operators
• Monotone Operators and the Proximal Point Algorithm
• Stochastic Equations in Infinite Dimensions
• Nonlinear Differential Equations of Monotone Types in Banach Spaces
• Unnamed Item

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