Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
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Publication:2010731
pathwise convergenceparabolic stochastic partial differential equationsnon-global Lipschitz condition
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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Cites work
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- Approximation for semilinear stochastic evolution equations
- Dynamics of evolutionary equations
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- Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
- Higher order pathwise numerical approximations of SPDEs with additive noise
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- Numerical approximation for a white noise driven SPDE with locally bounded drift
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
- Postprocessing for Stochastic Parabolic Partial Differential Equations
- Rate of convergence of space time approximations for stochastic evolution equations
- Semigroups of linear operators and applications to partial differential equations
- Stochastic Equations in Infinite Dimensions
- Strong and weak approximation of semilinear stochastic evolution equations
- Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
Cited in
(4)- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Convergence analysis of a simplified scheme for stochastic Burgers' equation with additive noise
- Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients
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