A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case (Q6062439)

scientific article; zbMATH DE number 7772840

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English	A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case	scientific article; zbMATH DE number 7772840

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instance of

scholarly article

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title

A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case (English)

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Stochastic and Partial Differential Equations. Analysis and Computations

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publication date

30 November 2023

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full work available at URL

https://arxiv.org/abs/2006.08275

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zbMATH Keywords

stochastic partial differential equation

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Milstein scheme

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numerical analysis

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non-commutative noise

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iterated stochastic integral

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stochastic evolution equation

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MaRDI profile type

MaRDI publication profile

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cites work

Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

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\(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations

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On the long-time behaviour of a class of parabolic SPDE's: monotonicity methods and exchange of stability

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Stochastic Equations in Infinite Dimensions

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Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise

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Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise

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A Milstein scheme for SPDEs

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An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox

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Q4714065

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The approximation of multiple stochastic integrals

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Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs

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Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE

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A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations

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Stochastic Reaction-Diffusion Systems With Hölder Continuous Multiplicative Noise

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Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

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Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise

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Iterated stochastic integrals in infinite dimensions: approximation and error estimates

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Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise

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Stabilization of stochastic Hopfield neural network with distributed parameters

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On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion

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An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise

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Lower bounds and nonuniform time discretization for approximation of stochastic heat equations

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Semigroups of linear operators and applications to partial differential equations

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A concise course on stochastic partial differential equations

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Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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Stochastic tamed 3D Navier-Stokes equations: existence, uniqueness and ergodicity

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Second order Runge-Kutta methods for Stratonovich stochastic differential equations

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Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations

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Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

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Dynamics of evolutionary equations

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An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition

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Finite element methods for parabolic stochastic PDE's

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A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise

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Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions

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Identifiers

arXiv ID

2006.08275

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Mathematics Subject Classification ID

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10.1007/S40072-022-00274-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:6062439