Rate of convergence of implicit approximations for stochastic evolution equations

MaRDI QIDQ5423780zbMATH OpenFDO

Authors István Gyöngy, Annie Millet

Publication date 31 October 2007

Full work available at URL https://arxiv.org/abs/math/0606488

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(23)

• Rate of convergence of space time approximations for stochastic evolution equations
• Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise
• On discretization schemes for stochastic evolution equations
• Weak order for the discretization of the stochastic heat equation driven by impulsive noise
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching
• On the backward Euler approximation of the stochastic Allen-Cahn equation
• Weak order for the discretization of the stochastic heat equation
• Weak approximation of stochastic partial differential equations: the nonlinear case
• On estimate of convergence rate to Ito’s equation. The case of uniform strong intermixing
• Numerical approximation of multiplicative SPDEs
• Random attractors for a class of stochastic partial differential equations driven by general additive noise
• Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients
• SPDE in Hilbert space with locally monotone coefficients
• Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp>
• The numerical approximation of stochastic partial differential equations
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
• Optimal error estimates of a discontinuous Galerkin method for stochastic Allen-Cahn equation driven by multiplicative noise
• Discrete stochastic maximal regularity
• Pathwise uniform convergence of a full discretization for a three-dimensional stochastic Allen-Cahn equation with multiplicative noise
• Discretizations of stochastic evolution equations in variational approach driven by jump-diffusion

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