A numerical scheme for stochastic PDEs with Gevrey regularity

DOI10.1093/imanum/24.4.587zbMath1073.65008MaRDI QIDQ4653107

Gabriel J. Lord, J. Rougemont

Publication date: 28 February 2005

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/24.4.587

zbMATH Keywords

Fourier transform; numerical results; diffusion equation; stochastic partial differential equations; Gevrey regularity; Brownian motions; implicit Euler-Maruyama scheme; strong error estimate; Ginzburg-Landau nonlinearity

Mathematics Subject Classification ID

35R30: Inverse problems for PDEs

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

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