Numerical analysis for neutral SPDEs driven by α-stable processes-Reference-Cited by-同舟云学术

Numerical analysis for neutral SPDEs driven by α-stable processes

Published:2014-11-25 Issue:04 Volume:17 Page:1450031
ISSN:0219-0257
Container-title:Infinite Dimensional Analysis, Quantum Probability and Related Topics
language:en
Short-container-title:Infin. Dimens. Anal. Quantum. Probab. Relat. Top.

Author:

Bao Jianhai¹,Yuan Chenggui²

Affiliation:

1. Department of Mathematics, Central South University, Changsha, Hunan 410075, P. R. China

2. Department of Mathematics, Swansea University, Singleton Park, SA2 8PP, UK

Abstract

In this note, we discuss strong convergence of exponential integrator scheme based on spatial and time discretization for a class of neutral stochastic partial differential equations driven by α-stable processes.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Mathematical Physics,Statistics and Probability,Statistical and Nonlinear Physics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219025714500313

Reference25 articles.

1. The law of the Euler scheme for stochastic differential equations

2. Successive approximation of neutral functional stochastic differential equations with jumps

3. Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations

4. Weak approximation of stochastic differential delay equations

5. A duality approach for the weak approximation of stochastic differential equations

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