Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
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Rate of convergence, degree of approximation (41A25) Random fields (60G60) 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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Cites work
- A Note on Maximal Inequality for Stochastic Convolutions
- An estimate of Burkholder type for stochastic processes defined by the stochastic integral
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
- scientific article; zbMATH DE number 711262 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- On the optimal filtering of diffusion processes
- One-Parameter Semigroups for Linear Evolution Equations
- Semigroups of linear operators and applications to partial differential equations
- Square roots of elliptic second order divergence operators on strongly Lipschitz domains: \(L ^{2}\) theory
- Stochastic partial differential equations
- Stochastic partial differential equations and diffusion processes
- Stochastic partial differential equations and filtering of diffusion processes
Cited in
(12)- New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts
- A simplified Milstein scheme for SPDEs with multiplicative noise
- Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
- \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
- A Milstein scheme for SPDEs
- Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
- An exponential Wagner-Platen type scheme for SPDEs
- Enhancing the order of the Milstein scheme for stochastic partial differential equations with commutative noise
- Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE
- A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
- A Lax equivalence theorem for stochastic differential equations
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