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 (3)

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

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