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

DOI10.1016/j.spa.2005.02.004zbMath1078.60051arXivmath/0611073OpenAlexW2043164668MaRDI QIDQ2485474

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 equationsGaussian noiseGreen functionnumerical simulationsspeed of convergencespace correlationimplicit and explicit space-time discretization schemes

Mathematics Subject Classification ID

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

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Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise, The numerical approximation of stochastic partial differential equations, 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, Weak approximation of the stochastic wave equation, Space semi-discretisations for a stochastic wave equation, Weak order for the discretization of the stochastic heat equation, An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise, A local discontinuous Galerkin method for nonlinear parabolic SPDEs, Numerical solution of stochastic partial differential equations using a collocation method, On a high-dimensional nonlinear stochastic partial differential equation, Weak approximation of stochastic partial differential equations: the nonlinear case, A Milstein scheme for SPDEs

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