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