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

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 (30)

• 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
• Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise
• 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
• 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 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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