Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise
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Publication:739016
DOI10.1016/j.apnum.2016.04.013zbMath1346.65002arXiv1507.07153OpenAlexW2346456776WikidataQ115360409 ScholiaQ115360409MaRDI QIDQ739016
Jean Medard T. Ngnotchouye, Antoine Tambue
Publication date: 16 August 2016
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.07153
strong convergenceweak convergenceMalliavin calculusfinite element methodssemidiscretizationnumerical resultexponential integratorsexponential Euler schemesemi-linear stochastic partial differential equation
Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
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