Localization errors in solving stochastic partial differential equations in the whole space

DOI10.1090/mcom/3201zbMath1364.60081arXiv1508.05535OpenAlexW2213941178MaRDI QIDQ2981781

Máté Gerencsér, István Gyöngy

Publication date: 10 May 2017

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.05535

zbMATH Keywords

finite difference methodCauchy problemlocalization errordegenerate stochastic parabolic PDE

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) 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)

Related Items (5)

Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ Accelerated finite elements schemes for parabolic stochastic partial differential equations ⋮ A Feynman-Kac formula for stochastic Dirichlet problems ⋮ On finite difference schemes for partial integro-differential equations of Lévy type ⋮ Kernel-based collocation methods for Zakai equations

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