A Lax equivalence theorem for stochastic differential equations

DOI10.1016/J.CAM.2010.05.001MaRDI QIDQ989145zbMATH OpenOpenAlexFDO

Authors Annika Lang

Publication date 27 August 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2010.05.001

zbMATH Keywords

consistencystochastic partial differential equationsconvergencestabilitynumerical approximationLax equivalence theorem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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

(11)

• scientific article; zbMATH DE number 2163277 (Why is no real title available?)
• scientific article; zbMATH DE number 2094579 (Why is no real title available?)
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• Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
• A high-efficient accurate coupled mesh-free scheme for 2D/3D space-fractional convection-diffusion/Burgers' problems
• Difference methods for stochastic space fractional diffusion equation driven by additive space-time white noise via Wong-Zakai approximation
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• scientific article; zbMATH DE number 1409868 (Why is no real title available?)
• Numerically modeling stochastic Lie transport in fluid dynamics
• Convergence rates of \(\alpha\)-stable difference methods
• Euler-Maruyama approximations of the stochastic heat equation on the sphere

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