Time-discretised Galerkin approximations of parabolic stochastic PDE's
From MaRDI portal
Publication:4346961
DOI10.1017/S0004972700015094zbMath0880.35143OpenAlexW2047312539MaRDI QIDQ4346961
Wilfried Grecksch, Peter E. Kloeden
Publication date: 28 January 1998
Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0004972700015094
global discretization errortime discretizations of finite-dimensional Itô stochastic differential equations
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods, stochastic differential equations (65C99)
Related Items
A splitting method for stochastic goursat problem ⋮ Euler Scheme for a Stochastic Goursat Problem ⋮ A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere ⋮ Finite difference schemes for linear stochastic integro-differential equations ⋮ Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise ⋮ A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations ⋮ An Exponential Wagner--Platen Type Scheme for SPDEs ⋮ Type II Singular Perturbation Approximation for Linear Systems with Lévy Noise ⋮ Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise ⋮ An \(\mathcal{H}_2\)-type error bound for balancing-related model order reduction of linear systems with Lévy noise ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ Singular perturbation approximation for linear systems with Lévy noise ⋮ On the splitting-up method and stochastic partial differential equations ⋮ Field Dynamics Inference for Local and Causal Interactions ⋮ A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise ⋮ The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations ⋮ The numerical approximation of stochastic partial differential equations ⋮ A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a \(\mathcal{C}^2\) boundary ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ Approximation of the soluticon of the stochastic navier-stokes equation∗ ⋮ Energy estimates and model order reduction for stochastic bilinear systems ⋮ Strong scheme for a stochastic Goursat problem. ⋮ Balanced model order reduction for linear random dynamical systems driven by Lévy noise ⋮ Fully-discrete finite element approximations for a fourth-order linear stochastic parabolic equation with additive space-time white noise ⋮ Numerical approximation of multiplicative SPDEs ⋮ Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise ⋮ Numerical multi-scaling method to solve the linear stochastic partial differential equations ⋮ Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise ⋮ Spatial approximation of stochastic convolutions ⋮ The Euler scheme for Hilbert space valued stochastic differential equations ⋮ A First Order Scheme for Backward Doubly Stochastic Differential Equations ⋮ Centre manifolds for infinite dimensional random dynamical systems ⋮ Stochastic adsorption--desorption problem for mass-spring systems in the nanotechnology ⋮ Space semi-discretisations for a stochastic wave equation ⋮ Weak order for the discretization of the stochastic heat equation ⋮ Solving parabolic stochastic partial differential equations via averaging over characteristics ⋮ The approximation of a Crank-Nicolson scheme for the stochastic Navier-Stokes equations ⋮ A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations ⋮ Weak approximation of stochastic partial differential equations: the nonlinear case ⋮ Model reduction for stochastic systems ⋮ Pathwise Taylor schemes for random ordinary differential equations ⋮ \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application ⋮ Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients ⋮ A new type of singular perturbation approximation for stochastic bilinear systems ⋮ Resolving the Multitude of Microscale Interactions Accurately Models Stochastic Partial Differential Equations ⋮ Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients ⋮ Numerical analysis of semilinear stochastic evolution equations in Banach spaces ⋮ A Milstein scheme for SPDEs ⋮ Stability of random attractors under perturbation and approximation ⋮ A first order semi-discrete algorithm for backward doubly stochastic differential equations ⋮ Approximation and model order reduction for second order systems with Levy-noise
Cites Work
