Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
This paper aims to investigate the weak convergence of the Rosenbrock semi-implicit
method for semilinear parabolic stochastic partial differential equations (SPDEs) driven by …
method for semilinear parabolic stochastic partial differential equations (SPDEs) driven by …
Some numerical techniques for approximating semilinear parabolic (stochastic) partial differential equations
MSJD Mukam - 2021 - monarch.qucosa.de
Abstract (EN) Partial differential equations (PDEs) and stochastic partial differential
equations (SPDEs) are powerful tools in modeling real-world phenomena in many fields …
equations (SPDEs) are powerful tools in modeling real-world phenomena in many fields …
Improved error estimates for a modified exponential Euler method for the semilinear stochastic heat equation with rough initial data
X Gui, B Li, J Wang - Science China Mathematics, 2024 - Springer
A class of stochastic Besov spaces B p L 2 (Ω; H α (O)), 1⩽ p⩽∞ and α∈[− 2, 2], is
introduced to characterize the regularity of the noise in the semilinear stochastic heat …
introduced to characterize the regularity of the noise in the semilinear stochastic heat …
[PDF][PDF] Fitted numerical schemes for stochastic optimal control prob-lems and options pricing in finance
J TOSSA - 2021 - researchgate.net
We consider the numerical approximation of the controlled stochastic differential equation
(1.53). Recall that the value function is given by (1.60), which by the dynamic programming …
(1.53). Recall that the value function is given by (1.60), which by the dynamic programming …