On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

DOI10.1016/J.SPA.2005.02.004zbMATH Open1078.60051arXivmath/0611073OpenAlexW2043164668MaRDI QIDQ2485474FDOQ2485474

Authors: Annie Millet, Pierre-Luc Morien 

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study the speed of convergence of the explicit and implicit space-time discretization schemes of the solution $u(t,x)$ to a parabolic partial differential equation in any dimension perturbed by a space-correlated Gaussian noise. The coefficients only depend on $u(t,x)$ and the influence of the correlation on the speed is observed.

Full work available at URL: https://arxiv.org/abs/math/0611073

Recommendations

• Finite element methods for parabolic stochastic PDE's
• On the discretization in time of parabolic stochastic partial differential equations
• Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise
• Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
• Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations

zbMATH Keywords

stochastic partial differential equationsGreen functionnumerical simulationsGaussian noisespeed of convergencespace correlationimplicit and explicit space-time discretization schemes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cites Work

• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
• Title not available (Why is that?)
• Title not available (Why is that?)
• Approximation for semilinear stochastic evolution equations
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
• Nonlinear stochastic wave and heat equations
• Cahn-Hilliard stochastic equation: Existence of the solution and of its density
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise
• Parabolic boundary value problems
• On the discretization in time of parabolic stochastic partial differential equations
• Numerical simulation of the stochastic Korteweg-de Vries equation
• Stochastic PDE's with function-valued solutions
• Title not available (Why is that?)
• On strongly Petrovskiĭ's parabolic SPDEs in arbitrary dimension and application to the stochastic Cahn-Hilliard equation

Cited In (16)

• Space semi-discretisations for a stochastic wave equation
• On a high-dimensional nonlinear stochastic partial differential equation
• A Milstein scheme for SPDEs
• The numerical approximation of stochastic partial differential equations
• Weak order for the discretization of the stochastic heat equation
• Weak approximation of stochastic partial differential equations: the nonlinear case
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Numerical solution of stochastic partial differential equations using a collocation method
• Weak approximation of the stochastic wave equation
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise
• A local discontinuous Galerkin method for nonlinear parabolic SPDEs
• Regularity of the mild solution of a parabolic equation with stochastic measure
• Analysis on the stability of numerical schemes for a class of stochastic partial differential systems
• The parametrix method for parabolic SPDEs

This page was built for publication: On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485474)