A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise

DOI10.1007/s11075-012-9568-8zbMath1267.65007arXiv1106.1889OpenAlexW2010406890MaRDI QIDQ1935387

Si-qing Gan, Xiao-Jie Wang

Publication date: 15 February 2013

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.1889

zbMATH Keywords

numerical examplesRunge-Kutta methodMilstein methodmultiplicative trace class noisenonlinear parabolic stochastic partial differential equation

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

An Exponential Wagner--Platen Type Scheme for SPDEs ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case ⋮ Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp> ⋮ Galerkin finite element method for time-fractional stochastic diffusion equations ⋮ Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods ⋮ Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus ⋮ A Milstein scheme for SPDEs

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