Milstein Approximation for Advection-Diffusion Equations Driven by Multiplicative Noncontinuous Martingale Noises

Author:

Barth Andrea,Lang Annika

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference47 articles.

1. Andrea Barth, A., Benth, F.E.: The forward dynamics in energy markets—infinite dimensional modeling and simulation. In: Stochastic Partial Differential Equations: Approximations and Applications, vol. 916, pp. 77–96. University of Oslo, Oslo (2009). Chap. 5. Series of dissertations submitted to the Faculty of Mathematics and Natural Sciences. ISSN 1501-7710

2. Stochastic Modelling and Applied Probability;S.R. Asmussen,2007

3. Auscher, P., Tchamitchian, P.: Square roots of elliptic second order divergence operators on strongly Lipschitz domains: L 2 theory. J. Anal. Math. 90, 1–12 (2003)

4. Barth, A.: Stochastic Partial Differential Equations: Approximations and Applications. PhD thesis, University of Oslo, CMA (September 2009)

5. Barth, A.: A finite element method for martingale-driven stochastic partial differential equations. Commun. Stoch. Anal. 4, 355–375 (2010)

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