Approximation schemes for viscosity solutions of fully nonlinear stochastic partial differential equations
DOI10.1214/19-AAP1543zbMath1466.65078arXiv1802.04740OpenAlexW3047286909MaRDI QIDQ2657924
Publication date: 18 March 2021
Published in: The Annals of Applied Probability, Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.04740
error estimatesfinite difference schemesmonotone schemesstochastic viscosity solutionssplitting formulae
Nonlinear parabolic equations (35K55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Regularization by noise (60H50)
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