The numerical approximation of stochastic partial differential equations

DOI10.1007/s00032-009-0100-0zbMath1205.60130OpenAlexW1966375731MaRDI QIDQ627037

Peter E. Kloeden, Arnulf Jentzen

Publication date: 19 February 2011

Published in: Milan Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00032-009-0100-0

zbMATH Keywords

strong convergencestochastic partial differential equationspathwise convergencehigher order numerical schemesstochastic ordinary differential equationsstochastic Taylor expansions

Mathematics Subject Classification ID

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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Uses Software

• RODAS

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