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
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
numerical examples; Runge-Kutta method; Milstein method; multiplicative trace class noise; nonlinear parabolic stochastic partial differential equation
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
Related Items
Cites Work
- Unnamed Item
- The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
- The numerical approximation of stochastic partial differential equations
- Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise
- Strong convergence of the finite element method with truncated noise for semilinear parabolic stochastic equations with additive noise
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
- Weak convergence of a numerical method for a stochastic heat equation
- A Milstein scheme for SPDEs
- A concise course on stochastic partial differential equations
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
- Numerical methods for stochastic parabolic PDEs
- Time-discretised Galerkin approximations of parabolic stochastic PDE's
- A numerical scheme for stochastic PDEs with Gevrey regularity
- Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
- Stochastic Equations in Infinite Dimensions