An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition

DOI10.1007/978-3-030-43465-6_25OpenAlexW3094587094MaRDI QIDQ5117947FDOQ5117947

Andreas Rößler, Claudine Leonhard

Publication date: 26 August 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.03543

zbMATH Keywords

Euler schemeMilstein schemeSPDEnon-commutative noiseiterated stochastic integral

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Dynamics of evolutionary equations
• A concise course on stochastic partial differential equations
• Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• The approximation of multiple stochastic integrals
• Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise
• A Milstein scheme for SPDEs
• Iterated stochastic integrals in infinite dimensions: approximation and error estimates
• Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise

Cited In (5)

• A simplified Milstein scheme for SPDEs with multiplicative noise
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
• On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion

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