Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity

DOI10.1016/j.amc.2019.02.016zbMath1429.65259OpenAlexW2915338602MaRDI QIDQ2010731

Feroz Khan, Si-qing Gan

Publication date: 27 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2019.02.016

zbMATH Keywords

parabolic stochastic partial differential equationspathwise convergencenon-global Lipschitz condition

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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