scientific article; zbMATH DE number 2034520
zbMATH Open1038.60057MaRDI QIDQ4445183FDOQ4445183
Authors: István Gyöngy, N. V. Krylov 
Publication date: 28 January 2004
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error boundsnumerical approximationstrong convergencestochastic partial differential equationsplitting-up methodstochastic initial value problem
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) PDEs with randomness, stochastic partial differential equations (35R60) 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)
Cited In (30)
- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
- A note on Euler approximations for stochastic differential equations with delay
- Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise
- A Milstein scheme for SPDEs
- Approximation of backward stochastic partial differential equations by a splitting-up method
- Convergence of the Euler-Maruyama method for CIR model with Markovian switching
- On the splitting-up method for rough (partial) differential equations
- On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
- On finite-difference approximations for normalized Bellman equations
- Stochastic integral evolution equations with locally monotone and non-Lipschitz coefficients
- On stochastic finite difference schemes
- Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence
- The numerical approximation of stochastic partial differential equations
- On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients
- Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering
- Localization errors in solving stochastic partial differential equations in the whole space
- Strong solutions of stochastic equations with singular time dependent drift
- Deep Splitting Method for Parabolic PDEs
- Coercivity condition for higher moment a priori estimates for nonlinear SPDEs and existence of a solution under local monotonicity
- On the convergence rate of the splitting-up scheme for rough partial differential equations
- On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
- Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs
- On \(L_p\)-solvability of stochastic integro-differential equations
- Finite difference schemes for stochastic partial differential equations in Sobolev spaces
- CLT for approximating ergodic limit of SPDEs via a full discretization
- An energy-based deep splitting method for the nonlinear filtering problem
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- Limit theorems for stochastic variational inequalities with non-Lipschitz coefficients
- 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
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