Numerical solutions of stochastic PDEs driven by arbitrary type of noise
DOI10.1007/S40072-018-0120-2zbMATH Open1475.60112OpenAlexW2808027564MaRDI QIDQ2328016FDOQ2328016
Chi-Wang Shu, Tianheng Chen, B. Rozovskii
Publication date: 9 October 2019
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40072-018-0120-2
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Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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Cited In (9)
- Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions
- Certified offline-free reduced basis (COFRB) methods for stochastic differential equations driven by arbitrary types of noise
- Numerical schemes for random ODEs with affine noise
- A splitting/polynomial chaos expansion approach for stochastic evolution equations
- Solving SPDEs driven by colored noise: A chaos approach
- A numerical scheme for stochastic PDEs with Gevrey regularity
- A numerical method for some stochastic differential equations with multiplicative noise
- Numerical solutions of stochastic PDEs driven by Ornstein-Uhlenbeck noise
- A local discontinuous Galerkin method for nonlinear parabolic SPDEs
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