L^p and almost sure convergence of a Milstein scheme for stochastic partial differential equations

DOI10.1016/J.SPA.2013.01.003zbMATH Open1263.60063OpenAlexW2047368043MaRDI QIDQ1947594FDOQ1947594

Authors: Andrea Barth, Annika Lang 

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

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zbMATH Keywords

almost sure convergencefinite element methodGalerkin methodMilstein schemestochastic partial differential equationbackward Euler schemeadvection-diffusion equation\(L^{p}\) convergence

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Strong limit theorems (60F15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (26)

• Strong convergence in \(L^p\) of Milstein method for Itô stochastic differential equations
• On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients
• Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence
• A Milstein scheme for SPDEs
• New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Mean square convergent three points finite difference scheme for random partial differential equations
• An exponential Wagner-Platen type scheme for SPDEs
• A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
• Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
• 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
• A Lax equivalence theorem for stochastic differential equations
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Enhancing the order of the Milstein scheme for stochastic partial differential equations with commutative noise
• Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE
• Convergence Analysis of Parareal Algorithm Based on Milstein Scheme for Stochastic Differential Equations
• Simulation of stochastic partial differential equations using finite element methods
• Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
• Convergence of Milstein methods for scalar Fokker-Planck equations
• Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
• Temporal approximation of stochastic evolution equations with irregular nonlinearities
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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