Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

DOI10.1080/17442501003653497zbMath1205.60132OpenAlexW2024359995MaRDI QIDQ3585335

Annika Lang, Juergen Potthoff, Pao-Liu Chow

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://madoc.bib.uni-mannheim.de/2329/1/CLP_Milstein.pdf

zbMATH Keywords

stochastic partial differential equationsnumerical schemeZakai equationMilstein scheme

Mathematics Subject Classification ID

Random fields (60G60) 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) Rate of convergence, degree of approximation (41A25)

Related Items (10)

New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts ⋮ An Exponential Wagner--Platen Type Scheme for SPDEs ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case ⋮ Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises ⋮ Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales ⋮ A simplified Milstein scheme for SPDEs with multiplicative noise ⋮ Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE ⋮ A Lax equivalence theorem for stochastic differential equations ⋮ A Milstein scheme for SPDEs

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• One-Parameter Semigroups for Linear Evolution Equations
• On the optimal filtering of diffusion processes

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