A Milstein scheme for SPDEs

DOI10.1007/s10208-015-9247-yzbMath1318.60072arXiv1001.2751OpenAlexW2027566891MaRDI QIDQ2351803

Arnulf Jentzen, Michael Roeckner

Publication date: 26 June 2015

Published in: Foundations of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.2751

zbMATH Keywords

stochastic partial differential equationsstochastic heat equationstochastic reaction-diffusion equationsMilstein schemestochastic Burgers equation

Mathematics Subject Classification ID

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)

Related Items (36)

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