Name
Title | ||
|---|---|---|
Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise. |
Abstract | ||
|---|---|---|
We consider parabolic stochastic partial differential equations driven by space-time Levy noise. Different discretization methods to accurately simulate jumps are proposed and analyzed in the context of an implicit time-discretization. Computational studies based on a finite element discretization are provided to illustrate combined truncation and time-discretization effects. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1137/100818297 | SIAM JOURNAL ON NUMERICAL ANALYSIS |
Keywords | DocType | Volume |
stochastic evolution equations,stochastic partial differential equations,numerical approximation,time-discretization,finite elements,Poisson random measure | Journal | 50 |
Issue | ISSN | Citations |
6 | 0036-1429 | 1 |
PageRank | References | Authors |
0.39 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Thomas Dunst | 1 | 3 | 1.88 |
| Erika Hausenblas | 2 | 20 | 6.19 |
| Andreas Prohl | 3 | 302 | 67.29 |