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

DOI10.1007/s11075-012-9568-8zbMath1267.65007arXiv1106.1889MaRDI 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 examples; Runge-Kutta method; Milstein method; multiplicative trace class noise; nonlinear parabolic stochastic partial differential equation

Mathematics Subject Classification ID

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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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, A Milstein scheme for SPDEs, Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus, An Exponential Wagner--Platen Type Scheme for SPDEs

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