Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations

zbMath1476.60109arXiv1912.02612MaRDI QIDQ4965793

D. F. Kuznetsov

Publication date: 10 March 2021

Full work available at URL: https://arxiv.org/abs/1912.02612

zbMATH Keywords

expansionLegendre polynomialsmean-square approximationmultiplicative trace class noisegeneralized multiple Fourier seriesexponential Wagner-Platen schememultiple Fourier-Legendre seriesexponential Milstein schemeinfinite-dimensional \(Q\)-Wiener processiterated stochastic Itô integralnon-commutative semilinear stochastic partial differential equation

Mathematics Subject Classification ID

Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (5)

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