On numerical solution of stochastic partial differential equations of elliptic type

DOI10.1080/17442500600805047zbMath1111.60046OpenAlexW1991908582MaRDI QIDQ3426282

István Gyöngy, Teresa Martinez

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600805047

zbMATH Keywords

finite differenceswhite noisestochastic PDEsspeed of convergence

Mathematics Subject Classification ID

Finite difference methods applied to problems in fluid mechanics (76M20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (9)

Numerical treatment of a fractional order system of nonlinear stochastic delay differential equations using a computational scheme ⋮ Strong and weak convergence order of finite element methods for stochastic PDEs with spatial white noise ⋮ Finite element methods for semilinear elliptic stochastic partial differential equations ⋮ A local discontinuous Galerkin method for nonlinear parabolic SPDEs ⋮ A FRACTIONAL POISSON EQUATION: EXISTENCE, REGULARITY AND APPROXIMATIONS OF THE SOLUTION ⋮ Strong 1.5 order scheme for second-order stochastic differential equations without Levy area ⋮ A Milstein scheme for SPDEs ⋮ Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise ⋮ A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay

Cites Work

• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• A Regularity Condition for Non-Markovian Solutions of Stochastic Differential Equations in the Plane

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