On the discretization in time of parabolic stochastic partial differential equations

DOI10.1051/M2AN:2001148MaRDI QIDQ5890474zbMATH OpenOpenAlexFDO

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, https://eudml.org/doc/197506

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)

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Cited in

(63)

• A simplified Milstein scheme for SPDEs with multiplicative noise
• Time discretization of a setvalued stochastic dynamic system
• Pathwise space approximations of semi-linear parabolic SPDEs with multiplicative noise
• Space semi-discretisations for a stochastic wave equation
• Existence, uniqueness and regularity for a class of semilinear stochastic Volterra equations with multiplicative noise
• Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs
• Numerical conservation issues for the stochastic Korteweg-de Vries equation
• 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
• Splitting up method for the 2D stochastic Navier-Stokes equations
• Time-discretization of stochastic 2-D Navier-Stokes equations with a penalty-projection method
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• Numerical approximation of stochastic evolution equations: convergence in scale of Hilbert spaces
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• Numerical approximation of multiplicative SPDEs
• 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
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• The numerical approximation of stochastic partial differential equations
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• Noise-induced oscillations in an actively mode-locked laser
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• Numerical approximation of nonlinear SPDE's
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• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Fully-discrete finite element approximations for a fourth-order linear stochastic parabolic equation with additive space-time white noise
• Splitting schemes for FitzHugh-Nagumo stochastic partial differential equations
• 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
• Weak error analysis for the stochastic Allen-Cahn equation
• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• Error analysis for 2D stochastic Navier-Stokes equations in bounded domains with Dirichlet data
• Convergence rates for the numerical approximation of the 2D stochastic Navier-Stokes equations
• On the backward Euler approximation of the stochastic Allen-Cahn equation
• Approximated exponential integrators for the stochastic Manakov equation
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Regularity of the mild solution of a parabolic equation with stochastic measure
• On the discretization in time of parabolic stochastic partial differential equations
• Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift
• 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
• Error estimates of finite element methods for fractional stochastic Navier-Stokes equations
• Discrete-space partial dynamic equations on time scales and applications to stochastic processes

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