scientific article
From MaRDI portal
Publication:3101969
zbMath1240.35001MaRDI QIDQ3101969
Arnulf Jentzen, Peter E. Kloeden
Publication date: 1 December 2011
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
numerical schemesmild solutionsmultiplicative noiseadditive noiserandom ordinary differential equationsIto-Taylor expansionsexistence, uniqueness, and regularity of solutionshigher-order numerical methods
Theoretical approximation in context of PDEs (35A35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to partial differential equations (35-02)
Related Items
Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations ⋮ Sharp mean-square regularity results for SPDEs with fractional noise and optimal convergence rates for the numerical approximations ⋮ Optimization and Convergence of Numerical Attractors for Discrete-Time Quasi-Linear Lattice System ⋮ Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift ⋮ A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations ⋮ On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations ⋮ Numerical schemes for random ODEs with affine noise ⋮ Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations ⋮ Shadowing orbits of a class of random differential equations ⋮ A nonlocal sample dependence SDE-PDE system modeling proton dynamics in a tumor ⋮ Convergence of the spectral Galerkin method for the stochastic reaction-diffusion-advection equation ⋮ Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes ⋮ Meshless simulation of stochastic advection-diffusion equations based on radial basis functions ⋮ The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations ⋮ Unnamed Item ⋮ Stationary in distributions of numerical solutions for stochastic partial differential equations with Markovian switching ⋮ A phase-space formulation and Gaussian approximation of the filtering equations for nonlinear quantum stochastic systems ⋮ Numerical solution of two-dimensional stochastic time-fractional Sine-Gordon equation on non-rectangular domains using finite difference and meshfree methods ⋮ Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients ⋮ Optimal solution of a class of non-autonomous initial-value problems with unknown singularities ⋮ Newton's method for stochastic semilinear wave equations driven by multiplicative time‐space noise ⋮ Multi-step methods for random ODEs driven by Itô diffusions ⋮ Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp> ⋮ Finite element approximation of the linearized stochastic Cahn-Hilliard equation with fractional Brownian motion ⋮ Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation ⋮ Random attractors for stochastic lattice dynamical systems with infinite multiplicative white noise ⋮ Solution of time‐fractional stochastic nonlinear sine‐Gordon equation via finite difference and meshfree techniques ⋮ First-order weak balanced schemes for stochastic differential equations ⋮ Strong convergence for an explicit fully‐discrete finite element approximation of the Cahn‐Hillard‐Cook equation with additive noise ⋮ An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation ⋮ Enlarged Numerical Attractors for Lattice Systems with Porous Media Degeneracies ⋮ Dynamics of an SEIR Model for Infectious Diseases in Random Environments ⋮ Error Estimates of Semidiscrete and Fully Discrete Finite Element Methods for the Cahn--Hilliard--Cook equation ⋮ Asset prices with investor protection and past information ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ Construction of mean-square Lyapunov-basins for random ordinary differential equations ⋮ Unnamed Item ⋮ Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems ⋮ A stochastic multiscale model for acid mediated cancer invasion ⋮ Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise ⋮ Spectral collocation method for stochastic partial differential equations with fractional Brownian motion ⋮ Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations ⋮ A note on error estimation for hypothesis testing problems for some linear SPDEs ⋮ Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations ⋮ The approximate solution of one dimensional stochastic evolution equations by meshless methods ⋮ An exponential integrator scheme for time discretization of nonlinear stochastic wave equation ⋮ Numerical approximation of multiplicative SPDEs ⋮ Barycentric interpolation of interface solution for solving stochastic partial differential equations on non-overlapping subdomains with additive multi-noises ⋮ Discrete maximal regularity of an implicit Euler-Maruyama scheme with non-uniform time discretisation for a class of stochastic partial differential equations ⋮ Numerical attractors and approximations for stochastic or deterministic sine-Gordon lattice equations ⋮ Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values ⋮ Multilevel ensemble Kalman filtering for spatio-temporal processes ⋮ Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion ⋮ Stable Integration of Stiff Random Ordinary Differential Equations ⋮ Optimal adaptive solution of piecewise regular systems of IVPs with unknown switching hypersurface ⋮ Random Dynamical Systems with Inputs ⋮ Some Classes of Stochastic Differential Equations as an Alternative Modeling Approach to Biomedical Problems ⋮ Unnamed Item ⋮ Solving Random Ordinary Differential Equations on GPU Clusters using Multiple Levels of Parallelism ⋮ Numerical schemes for ordinary delay differential equations with random noise ⋮ The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching ⋮ Mean-square convergence of numerical methods for random ordinary differential equations ⋮ Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs ⋮ On Parareal Algorithms for Semilinear Parabolic Stochastic PDEs ⋮ A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations ⋮ A spectral-based numerical method for Kolmogorov equations in Hilbert spaces ⋮ Application of combination schemes based on radial basis functions and finite difference to solve stochastic coupled nonlinear time fractional sine-Gordon equations ⋮ A mild Itô formula for SPDEs ⋮ Discretisation of global attractors for lattice dynamical systems ⋮ Building a path-integral calculus: a covariant discretization approach ⋮ Stabilized IMLS based element free Galerkin method for stochastic elliptic partial differential equations ⋮ Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
