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)

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