The roughness and smoothness of numerical solutions to the stochastic heat equation

DOI10.1007/s11118-011-9257-6zbMath1266.60114OpenAlexW2062796292MaRDI QIDQ1930869

John B. Walsh, Yuxiang Chong

Publication date: 14 January 2013

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11118-011-9257-6

zbMATH Keywords

stochastic partial differential equationsstochastic heat equationnumerical solutionsquadratic variation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems ⋮ Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations ⋮ High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise ⋮ On generating fully discrete samples of the stochastic heat equation on an interval ⋮ Crank--Nicolson Finite Element Approximations for a Linear Stochastic Fourth Order Equation with Additive Space-Time White Noise

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• Calculation of the eigenvalues of a symmetric tridiagonal matrix by the method of bisection

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