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On numerical solution of stochastic partial differential equations of elliptic type
3 references·1 citing·18 second hop
On numerical solution of stochastic partial differential equations of elliptic type (2006)On numerical solution of stochastic parti…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Lattice Approximations for St…Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations Driven by Space-Time White Noise I (1998)Lattice Approximations for St…Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion (2017)Finite element approximations…Controlled Diffusion Processes (1980)Existence of strong solutions for Itô's stochastic equations via approximations (1996)Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations (2000)Weak approximation of stochastic partial differential equations: the nonlinear case (2010)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)Stochastic integrals in the plane (1975)Martingales with a multidimensional parameter and stochastic integrals in the plane (1986)Stopping Times and Tightness. II (1989)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Fractional Brownian Motions, Fractional Noises and Applications (1968)Essentials of Stochastic Finance (1999)ESSENTIALS OF STOCHASTIC FINANCE (2000)Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions (2020)On stochastic equations with respect to semimartingales I.† (1980)On implicit and explicit discretization schemes for parabolic SPDEs in any dimension (2005)Discretization and Simulation of the Zakai Equation (2006)2 APPROXIMATING ROUGH STOCHASTIC PDES (2016)
this work references cited by second hop

References

  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 1999Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II227 cited
  • 1998Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations Driven by Space-Time White Noise I100 cited

Cited by

  • 2017Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion35 cited

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