A note on an accelerated exponential Euler method for parabolic SPDEs with additive noise

DOI10.1016/J.AML.2015.02.001MaRDI QIDQ494235zbMATH OpenOpenAlexFDO

Authors Xiaojie Wang, Ruisheng Qi

Publication date 31 August 2015

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2015.02.001

zbMATH Keywords

strong convergencesemilinear stochastic partial differential equationsadditive noiseoptimal regularity resultsaccelerated exponential Euler scheme

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Recommendations

• Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise
• Strong convergence rates of the linear implicit Euler method for the finite element discretization of SPDEs with additive noise
• Efficient simulation of nonlinear parabolic SPDEs with additive noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• Higher order pathwise numerical approximations of SPDEs with additive noise

Cites work

• Efficient simulation of nonlinear parabolic SPDEs with additive noise
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• Optimal error estimates of Galerkin finite element methods for stochastic partial differential equations with multiplicative noise
• Optimal regularity for semilinear stochastic partial differential equations with multiplicative noise
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Stochastic Equations in Infinite Dimensions
• Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise
• Strong and weak approximation of semilinear stochastic evolution equations

Cited in

(21)

• Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs
• Mittag--Leffler Euler Integrator for a Stochastic Fractional Order Equation with Additive Noise
• Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise
• Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
• A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
• Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation
• Accelerated exponential Euler scheme for stochastic heat equation: convergence rate of the density
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise
• A numerical method for a nonlocal diffusion equation with additive noise
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• An accelerated exponential time integrator for semi-linear stochastic strongly damped wave equation with additive noise
• Strong convergence analysis of the stochastic exponential Rosenbrock scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• Improved error estimates for a modified exponential Euler method for the semilinear stochastic heat equation with rough initial data
• Efficient simulation of nonlinear parabolic SPDEs with additive noise
• Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
• Strong approximation of stochastic semilinear subdiffusion and superdiffusion driven by fractionally integrated additive noise
• Magnus-type integrator for non-autonomous SPDEs driven by multiplicative noise

This page was built for publication: A note on an accelerated exponential Euler method for parabolic SPDEs with additive noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q494235)