Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

DOI10.1016/j.cam.2011.10.003zbMath1293.60064OpenAlexW2045564919MaRDI QIDQ2428092

Annika Lang

Publication date: 24 April 2012

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

Full work available at URL: https://doi.org/10.1016/j.cam.2011.10.003

zbMATH Keywords

Galerkin methodfinite element methoddiffusion equationadvectionmartingalestochastic partial differential equationZakai equation

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) 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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Finite difference schemes for linear stochastic integro-differential equations ⋮ Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

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