Numerical approximation of nonlinear SPDE’s

0575952 - ÚTIA 2024 RIV DE eng J - Journal Article
Ondreját, Martin - Prohl, A. - Walkington, N.
Numerical approximation of nonlinear SPDE’s.
Stochastics and Partial Differential Equations: Analysis and Computations. Roč. 11, č. 4 (2023), s. 1553-1634. ISSN 2194-0401. E-ISSN 2194-041X
R&D Projects: GA ČR(CZ) GA19-07140S
Institutional support: RVO:67985556
Keywords : SPDE * Weak martingale solution * Fully discrete scheme
OECD category: Pure mathematics
Impact factor: 1.5, year: 2022
Method of publishing: Open access
http://library.utia.cas.cz/separaty/2023/SI/ondrejat-0575952.pdf https://link.springer.com/article/10.1007/s40072-022-00271-9

The numerical analysis of stochastic parabolic partial differential equations is surveyed. This manuscript unifies much of the theory developed over the last decade into a cohesive framework which integrates techniques for the approximation of deterministic partial differential equations with methods for the approximation of stochastic ordinary differential equations. The manuscript is intended to be accessible to audiences versed in either of these disciplines, and examples are presented to illustrate the applicability of the theory.
Permanent Link: https://hdl.handle.net/11104/0345848