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

DOI10.1016/J.SPA.2005.02.004MaRDI QIDQ2485474zbMATH OpenOpenAlexFDO

Authors Annie Millet, Pierre-Luc Morien

Publication date 5 August 2005

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

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

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)

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.

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• On the discretization in time of parabolic stochastic partial differential equations
• Parabolic boundary value problems
• Stochastic PDE's with function-valued solutions

Cited in

(16)

• The parametrix method for parabolic SPDEs
• 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
• An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• 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

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