SPDE bridges with observation noise and their spatial approximation

DOI10.1016/j.spa.2023.01.007OpenAlexW4316038888MaRDI QIDQ2689896

Salvador Ortiz-Latorre, Giulia Di Nunno, Andreas Petersson

Publication date: 14 March 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.11141

zbMATH Keywords

finite element methodstochastic partial differential equationsspectral methodstochastic reaction-diffusion equationsconditional distributions in Hilbert spaces

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Diffusion processes (60J60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) 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)

Related Items (1)

A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a \(\mathcal{C}^2\) boundary

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