Numerical approximation for a white noise driven SPDE with locally bounded drift

DOI10.1007/S11118-004-1329-4MaRDI QIDQ1775583zbMATH OpenOpenAlexFDO

Authors Roger Pettersson, Mikael Signahl

Publication date 4 May 2005

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11118-004-1329-4

zbMATH Keywords

Malliavin calculusstochastic partial differential equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60)

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Cited in

(14)

• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Localization errors in solving stochastic partial differential equations in the whole space
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift
• Numerical approximation of multiplicative SPDEs
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition
• Efficient simulation of nonlinear parabolic SPDEs with additive noise
• The numerical approximation of stochastic partial differential equations
• Analysis and approximation of stochastic nerve axon equations
• Numerical analysis of the midpoint scheme for the generalized Benjamin-Bona-Mahony equation with white noise dispersion
• A Milstein scheme for SPDEs

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