Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients

DOI10.1002/mma.3747zbMath1343.60098OpenAlexW1764761745MaRDI QIDQ5741665

Minoo Kamrani

Publication date: 29 July 2016

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.3747

zbMATH Keywords

stochastic partial differential equationscolored noisetime discretizationspectral Galerkin approximationpathwise approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) 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

• Efficient simulation of nonlinear parabolic SPDEs with additive noise
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• Convergence of the spectral method for stochastic Ginzburg-Landau equation driven by space-time white noise
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• Full discretization of the stochastic Burgers equation with correlated noise
• Higher Order Pathwise Numerical Approximations of SPDEs with Additive Noise
• Nonhomogeneous Noise and Q-Wiener Processes on Bounded Domains
• Stochastic burgers equation with correlated noise
• Galerkin Approximations for the Stochastic Burgers Equation
• Postprocessing for Stochastic Parabolic Partial Differential Equations
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
• Stochastic Equations in Infinite Dimensions

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