Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative

DOI10.1080/00207160.2012.718762zbMath1258.35215arXiv1208.0475OpenAlexW1989197292MaRDI QIDQ4902865

Christoph Reisinger

Publication date: 18 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.0475

zbMATH Keywords

Fourier analysisstochastic partial differential equationsfinite differenceslocal mesh refinementimplicit time-stepping schemes

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises ⋮ A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises ⋮ Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE ⋮ Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations ⋮ Unnamed Item

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