An Exponential Wagner--Platen Type Scheme for SPDEs
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Publication:3188304
DOI10.1137/15M1008762zbMath1345.60068arXiv1309.4648OpenAlexW1489671651MaRDI QIDQ3188304
Sebastian Becker, Arnulf Jentzen, Peter E. Kloeden
Publication date: 18 August 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.4648
Strong limit theorems (60F15) 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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