A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
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Publication:6062439
DOI10.1007/s40072-022-00274-6arXiv2006.08275OpenAlexW3034429209WikidataQ114687430 ScholiaQ114687430MaRDI QIDQ6062439
Claudine Leonhard, Andreas Rößler
Publication date: 30 November 2023
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.08275
stochastic partial differential equationnumerical analysisMilstein schemestochastic evolution equationnon-commutative noiseiterated stochastic integral
Stochastic analysis (60Hxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Probabilistic methods, stochastic differential equations (65Cxx)
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