A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure

DOI10.1007/S10543-006-0099-3MaRDI QIDQ855292zbMATH OpenOpenAlexWikidataFDO

Authors Erika Hausenblas, Iuliana Marchis

Publication date 5 January 2007

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-006-0099-3

zbMATH Keywords

stochastic partial differential equationserror estimatesnumerical examplePoisson random measuretime discretizationstochastic evolution equationsEuler schemesspace discretization

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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Cited in

(34)

• Existence and exponential stability for neutral stochastic fractional differential equations with impulses driven by Poisson jumps
• On Markov Chain Approximations to Semilinear Partial Differential Equations Driven by Poisson Measure Noise
• Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
• Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise
• Finite Element Approximation of Stochastic Partial Differential Equations driven by Poisson Random Measures of Jump Type
• Weak order for the discretization of the stochastic heat equation driven by impulsive noise
• A Taylor expansion approach for solving partial differential equations with random Neumann boundary conditions
• Successive approximation and optimal controls on fractional neutral stochastic differential equations with Poisson jumps
• Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems
• Conformable fractional stochastic differential inclusions driven by Poisson jumps with optimal control and Clarke subdifferential
• The numerical approximation of stochastic partial differential equations
• Optimal control of Sobolev-type stochastic Hilfer fractional non-instantaneous impulsive differential inclusion involving Poisson jumps and Clarke subdifferential
• Exponential stability of impulsive fractional neutral stochastic integro-differential equations with nonlocal conditions
• Finite difference schemes for linear stochastic integro-differential equations
• Existence of solutions and approximate controllability of second-order stochastic differential systems with Poisson jumps and finite delay
• Convergence analysis of constraint energy minimizing generalized multiscale finite element method for a linear stochastic parabolic partial differential equation driven by additive noises
• Optimal control of Clarke subdifferential type fractional differential inclusion with non-instantaneous impulses driven by Poisson jumps and its topological properties
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Structure-Preserving Numerical Methods for Stochastic Poisson Systems
• Fully discrete schemes and L^p-strong convergence orders for the SPDE driven by Lévy noise
• Weak error for stable driven stochastic differential equations: expansion of the densities
• Stochastic heat equation and martingale differences
• Simulation of stochastic partial differential equations using finite element methods
• Existence of solutions and approximate controllability of impulsive fractional stochastic differential systems with infinite delay and Poisson jumps.
• Simulation of stochastic Volterra equations driven by space-time Lévy noise
• Approximation of the solution to the parabolic equation driven by stochastic measure
• Application of the lent particle method to Poisson-driven SDEs
• Stability analysis for neutral stochastic differential equation of second order driven by Poisson jumps
• Numerical solution for a class of SPDEs over bounded domains
• Stability result of higher-order fractional neutral stochastic differential system with infinite delay driven by Poisson jumps and Rosenblatt process
• Existence and trajectory controllability results for conformable stochastic system with multivalued operators and jump perturbations
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises

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