Add to ORKGA semidiscrete Milstein scheme for stochastic partial differential equations of Zakai type on a bounded domain of R^d is derived. It is shown that the order of convergence of this scheme is 1 for convergence in mean square sense. For almost sure convergence the order of convergence is proved to be 1 - e for any e > 0
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
This article proposes an implicit finite difference scheme for a two-dimensional parabolic stochasti...
In this thesis and in the research articles which this thesis consists of, respectively, we focus on...
A semidiscrete Milstein scheme for stochastic partial differential equations of Zakai type on a boun...
A semidiscrete Milstein scheme for stochastic partial differential equations of Zakai type on a boun...
In this paper, Lp convergence and almost sure convergence of the Milstein approximation of a partial...
AbstractIn this short note, a direct proof of L2 convergence of an Euler–Maruyama approximation of a...
In this paper $L^p$ convergence and almost sure convergence of the Milstein approximation of a parti...
In this short note, a direct proof of L2 convergence of an Euler-Maruyama approximation of a Zakai e...
We consider the numerical approximation of stochastic differential and partial differential equatio...
In this paper, the strong approximation of a stochastic partial differential equation, whose differe...
We first consider a one-dimensional stochastic partial differential equation (SPDE) of Zakai type d...
AbstractAn approximation theorem of stochastic differential equations driven by semimartingales is p...
Jentzen A, Röckner M. A Milstein Scheme for SPDEs. Foundations of Computational Mathematics. 2015;15...
This work describes a Galerkin type method for stochastic partial differential equations of Zakai ty...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
This article proposes an implicit finite difference scheme for a two-dimensional parabolic stochasti...
In this thesis and in the research articles which this thesis consists of, respectively, we focus on...
A semidiscrete Milstein scheme for stochastic partial differential equations of Zakai type on a boun...
A semidiscrete Milstein scheme for stochastic partial differential equations of Zakai type on a boun...
In this paper, Lp convergence and almost sure convergence of the Milstein approximation of a partial...
AbstractIn this short note, a direct proof of L2 convergence of an Euler–Maruyama approximation of a...
In this paper $L^p$ convergence and almost sure convergence of the Milstein approximation of a parti...
In this short note, a direct proof of L2 convergence of an Euler-Maruyama approximation of a Zakai e...
We consider the numerical approximation of stochastic differential and partial differential equatio...
In this paper, the strong approximation of a stochastic partial differential equation, whose differe...
We first consider a one-dimensional stochastic partial differential equation (SPDE) of Zakai type d...
AbstractAn approximation theorem of stochastic differential equations driven by semimartingales is p...
Jentzen A, Röckner M. A Milstein Scheme for SPDEs. Foundations of Computational Mathematics. 2015;15...
This work describes a Galerkin type method for stochastic partial differential equations of Zakai ty...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
This article proposes an implicit finite difference scheme for a two-dimensional parabolic stochasti...
In this thesis and in the research articles which this thesis consists of, respectively, we focus on...