A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure

DOI10.1007/s10543-006-0099-3zbMath1112.65004OpenAlexW2042716851WikidataQ59225718 ScholiaQ59225718MaRDI QIDQ855292

Erika Hausenblas, Iuliana Marchis

Publication date: 5 January 2007

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-006-0099-3

zbMATH Keywords

numerical exampleerror estimatesstochastic partial differential equationstime discretizationstochastic evolution equationsPoisson random measureEuler schemesspace discretization

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Finite difference schemes for linear stochastic integro-differential equations, Successive approximation and optimal controls on fractional neutral stochastic differential equations with Poisson jumps, Existence and exponential stability for neutral stochastic fractional differential equations with impulses driven by Poisson jumps, Optimal control of Clarke subdifferential type fractional differential inclusion with non-instantaneous impulses driven by Poisson jumps and its topological properties, Exponential stability of impulsive fractional neutral stochastic integro-differential equations with nonlocal conditions, Weak order for the discretization of the stochastic heat equation driven by impulsive noise, Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise, The numerical approximation of stochastic partial differential equations, Stability analysis for neutral stochastic differential equation of second order driven by Poisson jumps, Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures, Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure, Stochastic heat equation and martingale differences, Convergence analysis of constraint energy minimizing generalized multiscale finite element method for a linear stochastic parabolic partial differential equation driven by additive noises, Numerical aspects of shot noise representation of infinitely divisible laws and related processes, Existence of solutions and approximate controllability of impulsive fractional stochastic differential systems with infinite delay and Poisson jumps., Simulation of stochastic partial differential equations using finite element methods, Weak error for stable driven stochastic differential equations: expansion of the densities, A Taylor expansion approach for solving partial differential equations with random Neumann boundary conditions, Weak Convergence of Finite Element Approximations of Linear Stochastic Evolution Equations with Additive Lévy Noise, Stability result of higher-order fractional neutral stochastic differential system with infinite delay driven by Poisson jumps and Rosenblatt process, Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Existence, uniqueness and regularity of parabolic SPDEs driven by Poisson random measure
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• The Euler scheme for Lévy driven stochastic differential equations
• Study of a SPDE driven by a Poisson noise
• Parabolic SPDEs driven by Poisson white noise
• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• Approximation for semilinear stochastic evolution equations
• Convergence of Markov chain approximations to stochastic reaction-diffusion equations
• A note on space approximation of parabolic evolution equations
• Stochastic partial differential equations driven by Lévy space-time white noise
• Numerical methods for stochastic parabolic PDEs
• On Markov Chain Approximations to Semilinear Partial Differential Equations Driven by Poisson Measure Noise
• Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method
• On the discretization in time of parabolic stochastic partial differential equations
• On the discretization in time of parabolic stochastic partial differential equations
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs