Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
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Publication:3585335
DOI10.1080/17442501003653497zbMath1205.60132MaRDI QIDQ3585335
Annika Lang, Juergen Potthoff, Pao-Liu Chow
Publication date: 19 August 2010
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://madoc.bib.uni-mannheim.de/2329/1/CLP_Milstein.pdf
60G60: Random fields
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
41A25: Rate of convergence, degree of approximation
Related Items
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 Lax equivalence theorem for stochastic differential equations, 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, 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
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