Rate of convergence of implicit approximations for stochastic evolution equations

zbMATH Open1126.60054arXivmath/0606488MaRDI QIDQ5423780FDOQ5423780

Authors: István Gyöngy, Annie Millet 

Publication date: 31 October 2007

Full work available at URL: https://arxiv.org/abs/math/0606488

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Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (20)

• SPDE in Hilbert space with locally monotone coefficients
• Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching
• Weak order for the discretization of the stochastic heat equation driven by impulsive noise
• Random attractors for a class of stochastic partial differential equations driven by general additive noise
• Numerical approximation of multiplicative SPDEs
• Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients
• The numerical approximation of stochastic partial differential equations
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
• On estimate of convergence rate to Ito’s equation. The case of uniform strong intermixing
• Rate of convergence of space time approximations for stochastic evolution equations
• Optimal error estimates of a discontinuous Galerkin method for stochastic Allen-Cahn equation driven by multiplicative noise
• Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise
• Weak order for the discretization of the stochastic heat equation
• Weak approximation of stochastic partial differential equations: the nonlinear case
• On discretization schemes for stochastic evolution equations
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp>
• On the backward Euler approximation of the stochastic Allen-Cahn equation
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition

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