Name
Abstract | ||
|---|---|---|
We investigate the strong approximation of stochastic parabolic partial differential equations with additive noise. We introduce postprocessing in the context of a standard Galerkin approximation, although other spatial discretizations are possible. In time, we follow [G. J. Lord and J. Rougemont, IMA J. Numer. Anal., 24 (2004), pp. 587-604] and use an exponential integrator. We prove strong error estimates and discuss the best number of postprocessing terms to take. Numerically, we evaluate the efficiency of the methods and observe rates of convergence. Some experiments with the implicit Euler-Maruyama method are described. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1137/050640138 | SIAM J. Numerical Analysis |
Keywords | DocType | Volume |
exponential integrator,stochastic exponential integrator,best number,strong approximation,ima j. numer,numerical solution of stochastic pdes.,stochastic parabolic partial differential,g. j. lord,postprocessing term,strong error estimate,standard galerkin approximation,j. rougemont,additive noise,post-processing,rate of convergence,parabolic partial differential equation | Journal | 45 |
Issue | ISSN | Citations |
2 | 0036-1429 | 10 |
PageRank | References | Authors |
1.91 | 7 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Gabriel J. Lord | 1 | 33 | 12.31 |
| Tony Shardlow | 2 | 39 | 9.11 |