A Lax equivalence theorem for stochastic differential equations

DOI10.1016/j.cam.2010.05.001zbMath1198.65032OpenAlexW2016115539MaRDI QIDQ989145

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

stabilityconvergenceconsistencystochastic partial differential equationsnumerical approximationLax equivalence theorem

Mathematics Subject Classification ID

Random fields (60G60) Monte Carlo methods (65C05) 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)

Related Items

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, Euler-Maruyama approximations of the stochastic heat equation on the sphere, Numerically Modeling Stochastic Lie Transport in Fluid Dynamics, Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative

Uses Software

• PDE2D

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A generalization of discrete Gronwall inequality and its application to weakly singular Volterra integral equation of the second kind
• General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T, \mu,\mathbb{R}^d)\)]
• Numerical simulation of stochastic PDEs for excitable media
• \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations
• Taylor expansions of solutions of stochastic partial differential equations
• Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
• Stochastic motion and the level set method in computer vision: stochastic active contours
• A nonlinear integral equation with applications to neutron transport theory
• Fast simulation of Gaussian random fields
• Survey of the stability of linear finite difference equations
• Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
• Product formulas and numerical algorithms
• Stochastic Equations in Infinite Dimensions
• Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation
• Stochastic Partial Differential Equations with Levy Noise
• The Numerical Solution of Ordinary and Partial Differential Equations
• Multistep methods for SDEs and their application to problems with small noise
• Galerkin Finite Element Methods for Parabolic Problems
• A Generalization of the Lax-Richtmyer Theorem on Finite Difference Schemes