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

DOI10.1007/S11118-004-1329-4zbMATH Open1065.35221OpenAlexW1981173753MaRDI QIDQ1775583FDOQ1775583

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

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zbMATH Keywords

Malliavin calculusstochastic partial differential equations

Mathematics Subject Classification ID

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

Cites Work

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• Diffusions and Elliptic Operators
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• Random motion of strings and related stochastic evolution equations
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Cited In (14)

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

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