Weak approximation of stochastic partial differential equations: the nonlinear case

DOI10.1090/S0025-5718-2010-02395-6zbMath1217.65011arXiv0804.1304MaRDI QIDQ3081276

Arnaud Debussche

Publication date: 7 March 2011

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.1304

zbMATH Keywords

Malliavin calculus; stochastic heat equation; Euler scheme; weak error estimate; nonlinear stochastic partial differential equation

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

60H07: Stochastic calculus of variations and the Malliavin calculus

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

65M15: Error bounds for initial value and initial-boundary value problems involving PDEs

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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