scientific article; zbMATH DE number 2034520
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Publication:4445183
error boundsnumerical approximationsplitting-up methodstochastic initial value problemstochastic partial differential equationstrong convergence
PDEs with randomness, stochastic partial differential equations (35R60) 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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Filtering in stochastic control theory (93E11)
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Cited in
(34)- On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients
- Strong solutions of stochastic equations with singular time dependent drift
- On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
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- On \(L_p\)-solvability of stochastic integro-differential equations
- An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
- Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
- Approximation of backward stochastic partial differential equations by a splitting-up method
- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
- Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence
- Limit theorems for stochastic variational inequalities with non-Lipschitz coefficients
- On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
- A Milstein scheme for SPDEs
- Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise
- A note on Euler approximations for stochastic differential equations with delay
- CLT for approximating ergodic limit of SPDEs via a full discretization
- Localization errors in solving stochastic partial differential equations in the whole space
- An exponential Wagner-Platen type scheme for SPDEs
- On stochastic finite difference schemes
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- Finite difference schemes for stochastic partial differential equations in Sobolev spaces
- Coercivity condition for higher moment a priori estimates for nonlinear SPDEs and existence of a solution under local monotonicity
- Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering
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- Stochastic integral evolution equations with locally monotone and non-Lipschitz coefficients
- Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs
- An energy-based deep splitting method for the nonlinear filtering problem
- On the convergence rate of the splitting-up scheme for rough partial differential equations
- The numerical approximation of stochastic partial differential equations
- On convergence of splitting-up algorithm for stochastic partial differential equations with jump
- Convergence of a positivity preserving logarithmic truncated EM method for SDEs with discontinuous drift coefficients
- Convergence of a partially truncated Euler-Maruyama method for SDEs with super-linear piecewise continuous drift and Hölder diffusion coefficients
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
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