Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
DOI10.1016/J.AMC.2019.02.016zbMATH Open1429.65259OpenAlexW2915338602MaRDI QIDQ2010731FDOQ2010731
Authors: Feroz Khan, Siqing Gan 
Publication date: 27 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2019.02.016
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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)
Cites Work
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- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
- Numerical analysis of semilinear stochastic evolution equations in Banach spaces
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Higher order pathwise numerical approximations of SPDEs with additive noise
- Numerical approximation for a white noise driven SPDE with locally bounded drift
- Postprocessing for Stochastic Parabolic Partial Differential Equations
- Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations
Cited In (4)
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients
- Convergence analysis of a simplified scheme for stochastic Burgers' equation with additive noise
- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
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