Magnus-type integrator for non-autonomous SPDEs driven by multiplicative noise

DOI10.3934/dcds.2020194OpenAlexW3021333971MaRDI QIDQ2187863

Jean Daniel Mukam, Antoine Tambue

Publication date: 3 June 2020

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.04438

zbMATH Keywords

strong convergencefinite element methodstochastic partial differential equationsmultiplicative noisenon-autonomous equationsMagnus-type integrator

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical solutions to equations with nonlinear operators (65J15) Numerical solutions to stochastic differential and integral equations (65C30) Numerical solutions to abstract evolution equations (65J08)

Related Items (3)

Online Multiscale Model Reduction for Nonlinear Stochastic PDEs with Multiplicative Noise ⋮ A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations ⋮ Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral

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