Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs
DOI10.1090/mcom/3524zbMath1447.65081arXiv1611.02164OpenAlexW2797927110WikidataQ114094321 ScholiaQ114094321MaRDI QIDQ5118854
Publication date: 27 August 2020
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.02164
momentsstabilityconvergencevariational problemstochastic differential equationsPetrov-Galerkin methodcovariancetensor product spaces
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)
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