\(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations
From MaRDI portal
Publication:1947594
DOI10.1016/j.spa.2013.01.003zbMath1263.60063MaRDI QIDQ1947594
Publication date: 22 April 2013
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2013.01.003
Galerkin method; finite element method; almost sure convergence; stochastic partial differential equation; advection-diffusion equation; Milstein scheme; backward Euler scheme; \(L^{p}\) convergence
60F15: Strong limit theorems
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
Related Items
Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise, Simulation of stochastic partial differential equations using finite element methods, A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations, Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE, Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients, A Lax equivalence theorem for stochastic differential equations, New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts, Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises, Multilevel Monte Carlo method for parabolic stochastic partial differential equations, Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise, Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE, A Milstein scheme for SPDEs, Mean square convergent three points finite difference scheme for random partial differential equations, Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales, The forward dynamics in energy markets – infinite-dimensional modelling and simulation, A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes, An Exponential Wagner--Platen Type Scheme for SPDEs
