Numerical approximation of nonlinear SPDE's

DOI10.1007/S40072-022-00271-9MaRDI QIDQ6062437OpenAlexWikidataFDO

Authors Martin Ondreját, Andreas Prohl, Noel J. Walkington

Publication date 30 November 2023

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.06001

zbMATH Keywords

numerical analysisfully discrete schemeweak martingale solutionSPDE's

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Stochastic analysis (60Hxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx)

Abstract: The numerical analysis of stochastic parabolic partial differential equations of the form ${\displaystyle }$ du + A(u) = f ,dt + g , dW, ${\displaystyle }$ is surveyed, where $A$ is a partial operator and $W$ a Brownian motion. This manuscript unifies much of the theory developed over the last decade into a cohesive framework which integrates techniques for the approximation of deterministic partial differential equations with methods for the approximation of stochastic ordinary differential equations. The manuscript is intended to be accessible to audiences versed in either of these disciplines, and examples are presented to illustrate the applicability of the theory.

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