Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise

DOI10.1137/100818297MaRDI QIDQ4907142zbMATHOpenAlexDBLPWikidataFDO

Authors Thomas Dunst, Erika Hausenblas, Andreas Prohl

Publication date 4 March 2013

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/5b1e921e30316860b2c5bd24538c5f13fe8cebcd

zbMATH Keywords

stochastic partial differential equationsfinite elementsnumerical approximationPoisson random measuretime-discretizationstochastic evolution equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inverse problems for PDEs (35R30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(17)

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• The inverse source problem of Cherenkov radiation model
• Existence of weak solutions to stochastic heat equations driven by truncated \(\alpha\)-stable white noises with non-Lipschitz coefficients
• Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
• Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• Simulation of stochastic partial differential equations using finite element methods
• Numerical methods for SPDEs with tempered stable processes
• A posteriori error estimates for non-stationary non-linear convection-diffusion equations
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure
• On the discretization in time of parabolic stochastic partial differential equations
• Simulation of stochastic Volterra equations driven by space-time Lévy noise
• Approximation and simulation of infinite-dimensional Lévy processes
• Euler approximated solutions of hybrid stochastic differential equations perturbed by Lévy noise

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