Numerical approximation of nonlinear SPDE's

DOI10.1007/S40072-022-00271-9arXiv2003.06001OpenAlexW3010957109WikidataQ114219492 ScholiaQ114219492MaRDI QIDQ6062437FDOQ6062437

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)

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.

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)

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