Solving parabolic stochastic partial differential equations via averaging over characteristics

DOI10.1090/S0025-5718-09-02250-9zbMath1198.65033OpenAlexW1982687195MaRDI QIDQ3055189

M. V. Tretyakov, Grigori N. Milstein

Publication date: 7 November 2010

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

Full work available at URL: https://doi.org/10.1090/s0025-5718-09-02250-9

zbMATH Keywords

Monte Carlo techniquelayer methodsnumerical integration of stochastic differential equationsmean-square and almost sure convergenceprobabilistic representations of solutions of stochastic partial differential equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) 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)

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