Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise

DOI10.1016/0304-4149(95)00010-5MaRDI QIDQ1899255zbMATH OpenOpenAlexWikidataFDO

Authors István Gyöngy, David Nualart

Publication date 20 February 1996

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(95)00010-5

zbMATH Keywords

convergence in probabilityapproximating the solution of an initial- boundary value problemstochastic nonhomogeneous heat equation

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 3984248 (Why is no real title available?)
• On quasi-linear stochastic partial differential equations
• On stochastic equations with respect to semimartingales I.^†

Cited in

(31)

• A first order semi-discrete algorithm for backward doubly stochastic differential equations
• Numerical solution of a model for stochastic polymer equation driven by space-time Brownian motion via homotopy perturbation method
• On the regularization effect of space-time white noise on quasi-linear parabolic partial differential equations
• Spatial approximation of stochastic convolutions
• Space semi-discretisations for a stochastic wave equation
• Analytical and Simulation Results for the Stochastic Spatial Fitzhugh-Nagumo Model Neuron
• SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
• On the well-posedness of the stochastic Allen-Cahn equation in two dimensions
• A first order scheme for backward doubly stochastic differential equations
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• The numerical approximation of stochastic partial differential equations
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
• GLAUBER DYNAMICS FOR QUANTUM LATTICE SYSTEMS
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• The implicit scheme for Navier-Stokes equations driven by space-time white noise
• Finite element methods for parabolic stochastic PDE's
• An approximation method for stochastic heat equation driven by white noise
• 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
• Enhancing the order of the Milstein scheme for stochastic partial differential equations with commutative noise
• \( L^2\)-regularity result for solutions of backward doubly stochastic differential equations
• Empirical regression method for backward doubly stochastic differential equations
• An improved quasi-reversibility method for a terminal-boundary value multi-species model with white Gaussian noise
• A full discretization of the rough fractional linear heat equation
• Numerical approximation for stochastic nonlinear fractional diffusion equation driven by rough noise
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• 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

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