A Lax equivalence theorem for stochastic differential equations
DOI10.1016/J.CAM.2010.05.001zbMATH Open1198.65032OpenAlexW2016115539MaRDI QIDQ989145FDOQ989145
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
Recommendations
- scientific article; zbMATH DE number 4030654
- Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
- Approximation for the solutions of stochastic differential equations. i: lp-convergence
- An axiomatic approach to numerical approximations of stochastic processes
- The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations
consistencystochastic partial differential equationsconvergencestabilitynumerical approximationLax equivalence theorem
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)
Cites Work
- Fast simulation of Gaussian random fields
- Title not available (Why is that?)
- Title not available (Why is that?)
- Galerkin Finite Element Methods for Parabolic Problems
- Survey of the stability of linear finite difference equations
- Stochastic modeling of electricity and related markets.
- Title not available (Why is that?)
- Stochastic Equations in Infinite Dimensions
- Stochastic Partial Differential Equations with Levy Noise
- The Numerical Solution of Ordinary and Partial Differential Equations
- Numerical simulation of stochastic PDEs for excitable media
- Title not available (Why is that?)
- Stochastic motion and the level set method in computer vision: stochastic active contours
- Title not available (Why is that?)
- A generalization of discrete Gronwall inequality and its application to weakly singular Volterra integral equation of the second kind
- A finite element method for martingale-driven stochastic partial differential equations
- Product formulas and numerical algorithms
- Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
- Taylor expansions of solutions of stochastic partial differential equations
- \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations
- Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
- Multistep methods for SDEs and their application to problems with small noise
- Title not available (Why is that?)
- A nonlinear integral equation with applications to neutron transport theory
- Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation
- General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T], \mu,\mathbb{R}^d)\)
- A Generalization of the Lax-Richtmyer Theorem on Finite Difference Schemes
Cited In (11)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Numerically Modeling Stochastic Lie Transport in Fluid Dynamics
- Title not available (Why is that?)
- Difference methods for stochastic space fractional diffusion equation driven by additive space-time white noise via Wong-Zakai approximation
- 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
- Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
- Convergence rates of \(\alpha\)-stable difference methods
- Euler-Maruyama approximations of the stochastic heat equation on the sphere
- Title not available (Why is that?)
Uses Software
This page was built for publication: A Lax equivalence theorem for stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q989145)
