Efficient simulation of nonlinear parabolic SPDEs with additive noise
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Publication:549862
DOI10.1214/10-AAP711zbMath1223.60050arXiv1210.8320OpenAlexW3104557142MaRDI QIDQ549862
Peter E. Kloeden, Georg Winkel, Arnulf Jentzen
Publication date: 19 July 2011
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.8320
convergencecomputational coststochastic reaction diffusion equationsexponential Euler schemelinear implicit Euler scheme
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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- Rate of convergence of space time approximations for stochastic evolution equations
- Geometric theory of semilinear parabolic equations
- A note on Euler's approximations
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
- Finite element methods for parabolic stochastic PDE's
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- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
- Galerkin Approximations for the Stochastic Burgers Equation
- Dynamics of evolutionary equations
- Stochastic Equations in Infinite Dimensions
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