Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises (Q1935507)
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scientific article; zbMATH DE number 6136948
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises |
scientific article; zbMATH DE number 6136948 |
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Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises (English)
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18 February 2013
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finite element method
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stochastic partial differential equation
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martingale
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Galerkin method
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Zakai equation
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advection-diffusion PDE
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Milstein scheme
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Karhunen-Loève expansion
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nonequidistant time stepping
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