Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
type: Item
instance of: scholarly article
title: Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
zbMATH Open document ID: 1260.60134
author: Andrea Barth
author: Annika Lang
published in: Applied Mathematics and Optimization
publication date: 2013-02-18T00:00:00Z
full work available at URL: http://hdl.handle.net/20.500.11850/59148
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 65N30
zbMATH DE Number: 6136948
zbMATH Keywords: finite element method
zbMATH Keywords: stochastic partial differential equation
zbMATH Keywords: martingale
zbMATH Keywords: Galerkin method
zbMATH Keywords: Zakai equation
zbMATH Keywords: advection-diffusion PDE
zbMATH Keywords: Milstein scheme
zbMATH Keywords: Karhunen-Loève expansion
zbMATH Keywords: nonequidistant time stepping
MaRDI profile type: Publication
OpenAlex ID: W1985917877
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DOI: 10.1007/S00245-012-9176-Y
description: scientific article; zbMATH DE number 6136948