Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations

DOI10.1137/12086412XzbMath1268.65007arXiv1201.5769OpenAlexW2070588553MaRDI QIDQ4907539

Eric J. Hall

Publication date: 4 February 2013

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.5769

zbMATH Keywords

Richardson extrapolationlinear parabolic stochastic partial differential equationshigh-order spatial accuracyspace-time discretization scheme

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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)

Related Items (5)

On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations ⋮ Finite difference schemes for linear stochastic integro-differential equations ⋮ Accelerated finite elements schemes for parabolic stochastic partial differential equations ⋮ On stochastic finite difference schemes ⋮ Finite difference schemes for stochastic partial differential equations in Sobolev spaces

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