A numerical scheme for stochastic PDEs with Gevrey regularity

DOI10.1093/imanum/24.4.587zbMath1073.65008OpenAlexW2061319419MaRDI QIDQ4653107

J. Rougemont, Gabriel J. Lord

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 transformnumerical resultsdiffusion equationstochastic partial differential equationsGevrey regularityBrownian motionsimplicit Euler-Maruyama schemestrong error estimateGinzburg-Landau nonlinearity

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) 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)

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