Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise
DOI10.1016/j.cam.2023.115442zbMath1523.60111arXiv2303.13766MaRDI QIDQ6049262
Guanqian Wang, Liet Vo, Yukun Li
Publication date: 17 October 2023
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2303.13766
finite element methodWiener processstochastic partial differential equationsmultiplicative noiseMilstein schemeItô stochastic integral
Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) 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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