On the discretization in time of parabolic stochastic partial differential equations

DOI10.1051/M2AN:2001148zbMATH Open0991.60051OpenAlexW2055093138MaRDI QIDQ5890474FDOQ5890474

Authors: Jacques Printems 

Publication date: 20 March 2002

Published in: M2AN. Mathematical Modelling and Numerical Analysis. ESAIM, European Series in Applied and Industrial Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=M2AN_2001__35_6_1055_0

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zbMATH Keywords

Euler schemestochastic partial differential equationsemi-discretization

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic models, generic numerical methods in probability and statistics (65C20) (L^p)-limit theorems (60F25)

Cites Work

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Cited In (63)

• Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs
• Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise
• Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Splitting schemes for FitzHugh-Nagumo stochastic partial differential equations
• Weak error analysis for the stochastic Allen-Cahn equation
• Error analysis for 2D stochastic Navier-Stokes equations in bounded domains with Dirichlet data
• Approximated exponential integrators for the stochastic Manakov equation
• Time discretization of a setvalued stochastic dynamic system
• A simplified Milstein scheme for SPDEs with multiplicative noise
• Pathwise space approximations of semi-linear parabolic SPDEs with multiplicative noise
• Numerical conservation issues for the stochastic Korteweg-de Vries equation
• Space semi-discretisations for a stochastic wave equation
• Existence, uniqueness and regularity for a class of semilinear stochastic Volterra equations with multiplicative noise
• A Milstein scheme for SPDEs
• Approximation by time discretization of special stochastic evolution equations
• Domain decomposition strategies for the stochastic heat equation
• Numerical methods for stochastic partial differential equations with multiple scales
• Time-discretization of stochastic 2-D Navier-Stokes equations with a penalty-projection method
• Splitting up method for the 2D stochastic Navier-Stokes equations
• Numerical approximation of stochastic evolution equations: convergence in scale of Hilbert spaces
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• Numerical approximation of multiplicative SPDEs
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems
• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• Discrete maximal regularity of an implicit Euler-Maruyama scheme with non-uniform time discretisation for a class of stochastic partial differential equations
• Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• The numerical approximation of stochastic partial differential equations
• Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise
• Spectral collocation method for stochastic partial differential equations with fractional Brownian motion
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
• Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise
• An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation
• Lie-Trotter splitting for the nonlinear stochastic Manakov system
• Numerical approximation of nonlinear SPDE's
• Crank-Nicolson finite element approximations for a linear stochastic fourth order equation with additive space-time white noise
• Weak order for the discretization of the stochastic heat equation
• Weak approximation of stochastic partial differential equations: the nonlinear case
• Noise-induced oscillations in an actively mode-locked laser
• On the rate of convergence of the 2-D stochastic Leray-\(\alpha \) model to the 2-D stochastic Navier-Stokes equations with multiplicative noise
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Strong order of convergence of a fully discrete approximation of a linear stochastic Volterra type evolution equation
• Fully-discrete finite element approximations for a fourth-order linear stochastic parabolic equation with additive space-time white noise
• A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure
• Convergence of the spectral Galerkin method for the stochastic reaction-diffusion-advection equation
• Analysis of fully discrete mixed finite element methods for time-dependent stochastic Stokes equations with multiplicative noise
• Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs
• Numerical solution of stochastic partial differential equations using a collocation method
• Strong convergence analysis of the stochastic exponential Rosenbrock scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• Strong convergence of a fully discrete finite element approximation of the stochastic Cahn-Hilliard equation
• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• Convergence rates for the numerical approximation of the 2D stochastic Navier-Stokes equations
• On the backward Euler approximation of the stochastic Allen-Cahn equation
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• On the discretization in time of parabolic stochastic partial differential equations
• Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift
• Regularity of the mild solution of a parabolic equation with stochastic measure
• Strong \(L^2\) convergence of time Euler schemes for stochastic 3D Brinkman-Forchheimer-Navier-Stokes equations
• Space-time Euler discretization schemes for the stochastic 2D Navier-Stokes equations
• Discrete-space partial dynamic equations on time scales and applications to stochastic processes
• Error estimates of finite element methods for fractional stochastic Navier-Stokes equations

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