Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
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Publication:1935507
DOI10.1007/s00245-012-9176-yzbMath1260.60134MaRDI QIDQ1935507
Publication date: 18 February 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/59148
Galerkin method; finite element method; martingale; stochastic partial differential equation; Zakai equation; Milstein scheme; Karhunen-Loève expansion; advection-diffusion PDE; nonequidistant time stepping
65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
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