A simplified Milstein scheme for SPDEs with multiplicative noise

DOI10.1155/2014/140849zbMath1468.60086OpenAlexW2094532871WikidataQ59035443 ScholiaQ59035443MaRDI QIDQ1722168

Bakhtiyar Ghayebi, Mohammed Hosseini Ali Abadi

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/140849

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

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

Cites Work

• Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE
• Efficient simulation of nonlinear parabolic SPDEs with additive noise
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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• A Milstein scheme for SPDEs
• A concise course on stochastic partial differential equations
• On numerical solutions of the stochastic wave equation
• Stochastic Equations in Infinite Dimensions
• Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
• Numerical methods for stochastic parabolic PDEs
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Approximation Schemes for Stochastic Differential Equations in Hilbert Space
• An Accelerated Splitting-up Method for Parabolic Equations
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• On the discretization in time of parabolic stochastic partial differential equations
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs

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