Linear-implicit strong schemes for Itô-Galkerin approximations of stochastic PDEs

Article English OPEN
Kloeden, Peter E.; Shott, Stephen;
  • Publisher: Hindawi Publishing Corporation
  • Journal: Journal of Applied Mathematics and Stochastic Analysis (issn: 1048-9533, eissn: 1687-2177)
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.1155/S1048953301000053
  • Subject: Q | linear-implicit scheme. | parabolic SPDE | Mathematics | Science | strong Taylor scheme | Galerkin approximation | QA1-939
    • ddc: ddc:510

Linear-implicit versions of strong Taylor numerical schemes for finite dimensional Itô stochastic differential equations (SDEs) are shown to have the same order as the original scheme. The combined truncation and global discretization error of an gamma strong linear-imp... View more