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

DOI10.1007/S10543-006-0099-3zbMATH Open1112.65004OpenAlexW2042716851WikidataQ59225718 ScholiaQ59225718MaRDI QIDQ855292FDOQ855292

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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• Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise
• Numerical solution for a class of SPDEs over bounded domains

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• A note on space approximation of parabolic evolution equations
• Approximation for semilinear stochastic evolution equations
• Convergence of Markov chain approximations to stochastic reaction-diffusion equations
• Existence, uniqueness and regularity of parabolic SPDEs driven by Poisson random measure
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• Numerical methods for stochastic parabolic PDEs
• On Markov Chain Approximations to Semilinear Partial Differential Equations Driven by Poisson Measure Noise
• On the discretization in time of parabolic stochastic partial differential equations
• On the discretization in time of parabolic stochastic partial differential equations
• Parabolic SPDEs driven by Poisson white noise
• Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method
• Stochastic partial differential equations driven by Lévy space-time white noise
• Study of a SPDE driven by a Poisson noise
• The Euler scheme for Lévy driven stochastic differential equations

Cited In (31)

• 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
• 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
• Stochastic heat equation and martingale differences
• Simulation of stochastic partial differential equations using finite element methods
• Weak error for stable driven stochastic differential equations: expansion of the densities
• Approximation of the solution to the parabolic equation driven by stochastic measure
• Simulation of stochastic Volterra equations driven by space-time Lévy noise
• Existence of solutions and approximate controllability of impulsive fractional stochastic differential systems with infinite delay and Poisson jumps.
• Stability analysis for neutral stochastic differential equation of second order driven by Poisson jumps
• Application of the lent particle method to Poisson-driven SDEs
• Stability result of higher-order fractional neutral stochastic differential system with infinite delay driven by Poisson jumps and Rosenblatt process
• Numerical solution for a class of SPDEs over bounded domains
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Existence and exponential stability for neutral stochastic fractional differential equations with impulses driven by Poisson jumps
• Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises

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