Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
Author:
Funder
University of Oxford
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software
Link
http://link.springer.com/content/pdf/10.1007/s10543-019-00761-8.pdf
Reference39 articles.
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3. Barth, A., Lang, A.: $$L^p$$ and almost sure convergence of a Milstein scheme for stochastic partial differential equations. Stoch. Process. Appl. 123(5), 1563–1587 (2013)
4. Barth, A., Lang, A., Schwab, C.: Multilevel Monte Carlo method for parabolic stochastic partial differential equations. BIT Numer. Math. 53(1), 3–27 (2013)
5. Buckwar, E., Kelly, C.: Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations. SIAM J. Numer. Anal. 48(1), 298–321 (2010)
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