Higher Order Spatial Approximations for Degenerate Parabolic Stochastic Partial Differential Equations

DOI10.1137/120893926zbMath1283.65006arXiv1210.1198OpenAlexW3105035658MaRDI QIDQ2855121

Eric J. Hall

Publication date: 24 October 2013

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1198

zbMATH Keywords

convergenceCauchy problemnonlinear filteringdegenerate parabolic equationZakai equationEuler implicit schemeRichardson's accelerationsecond-order stochastic parabolic partial differential equation

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) 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) 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)

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Finite difference schemes for linear stochastic integro-differential equations ⋮ Accelerated finite elements schemes for parabolic stochastic partial differential equations ⋮ On stochastic finite difference schemes

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