An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition
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Publication:5117947
Cites work
- A Milstein scheme for SPDEs
- A concise course on stochastic partial differential equations
- Dynamics of evolutionary equations
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- Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
- Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
- Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise
- Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise
- The approximation of multiple stochastic integrals
Cited in
(6)- An Analysis of the Milstein Scheme for SPDEs without a Commutative Noise Condition
- 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
- A simplified Milstein scheme for SPDEs with multiplicative noise
- Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
- A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
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