Accelerated Finite Difference Schemes for Linear Stochastic Partial Differential Equations in the Whole Space

DOI10.1137/090781395zbMath1222.65009arXiv1006.1389OpenAlexW1998337709MaRDI QIDQ3006357

István Gyöngy, Nicolai V. Krylov

Publication date: 10 June 2011

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.1389

zbMATH Keywords

Cauchy problemconvergence accelerationfinite differencesextrapolation to the limitRichardson's methodlinear stochastic partial differential equations

Mathematics Subject Classification ID

Partial functional-differential equations (35R10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Extrapolation to the limit, deferred corrections (65B05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations, Numerical computation for backward doubly SDEs with random terminal time, Finite difference schemes for linear stochastic integro-differential equations, Euler time discretization of backward doubly SDEs and application to semilinear SPDEs, Stochastic optimal control in infinite dimensions with state constraints, Numerical analysis for stochastic partial differential delay equations with jumps, Numerical analysis for neutral SPDEs driven by α-stable processes, Probabilistic interpretation for solutions of fully nonlinear stochastic pdes, Localization errors in solving stochastic partial differential equations in the whole space, Accelerated finite elements schemes for parabolic stochastic partial differential equations, On stochastic finite difference schemes, Finite difference schemes for stochastic partial differential equations in Sobolev spaces, On finite difference schemes for degenerate stochastic parabolic partial differential equations, Empirical Regression Method for Backward Doubly Stochastic Differential Equations, Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations, On finite difference schemes for partial integro-differential equations of Lévy type, L2-regularity result for solutions of backward doubly stochastic differential equations