Taylor expansions of solutions of stochastic partial differential equations with additive noise

DOI10.1214/09-AOP500zbMath1220.35202arXiv1010.0161OpenAlexW3104094966MaRDI QIDQ964777

Arnulf Jentzen, Peter E. Kloeden

Publication date: 21 April 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0161

zbMATH Keywords

strong convergencestochastic partial differential equationsTaylor expansionsSPDEstochastic trees

Mathematics Subject Classification ID

Abstract parabolic equations (35K90) 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) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Uses Software

• Expint

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