Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition

DOI10.1016/j.cam.2017.04.012zbMath1364.60088OpenAlexW2605703589MaRDI QIDQ2628368

Minoo Kamrani, Dirk Blömker

Publication date: 1 June 2017

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

Full work available at URL: https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-423634

zbMATH Keywords

stochastic partial differential equationsorder of convergencecolored noisetime discretizationuniform boundsspectral Galerkin approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) 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)

Related Items

An Exponential Wagner--Platen Type Scheme for SPDEs, On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients, Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations

Cites Work

• Unnamed Item
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Efficient simulation of nonlinear parabolic SPDEs with additive noise
• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• Semigroups of linear operators and applications to partial differential equations
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• On the stochastic Burgers' equation in the real line
• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• Convergence of the spectral method for stochastic Ginzburg-Landau equation driven by space-time white noise
• Full discretization of the stochastic Burgers equation with correlated noise
• Numerical methods for stochastic parabolic PDEs
• Nonhomogeneous Noise and Q-Wiener Processes on Bounded Domains
• Stochastic burgers equation with correlated noise
• Galerkin Approximations for the Stochastic Burgers Equation
• Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method
• Postprocessing for Stochastic Parabolic Partial Differential Equations
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
• Stochastic Equations in Infinite Dimensions