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Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
3 references·2 citing·17 second hop
Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise (1995)Implicit scheme for quasi-linear paraboli…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…On quasi-linear stochastic partial differential equations (1993)On quasi-linear stochastic pa…On stochastic equations with respect to semimartingales I.† (1980)On stochastic equations with …A First Order Scheme for Backward Doubly Stochastic Differential Equations (2016)A First Order Scheme for Back…On implicit and explicit discretization schemes for parabolic SPDEs in any dimension (2005)On implicit and explicit disc…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Stochastic Differential Equations and Diffusion Processes (1983)Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noise (1997)Stochastic evolution equations in (1999)REGULARIZATION OF QUASILINEAR HEAT EQUATIONS BY A FRACTIONAL NOISE (2004)Controlled Diffusion Processes (1980)Weak and strong solutions of stochastic differential equations: Existence and stability (1981)On stochastics equations with respect to semimartingales ii. itô formula in banach spaces (1982)Un Cours sur les Intégrales Stochastiques (2002)Stochastic Evolution Equations of Jump Type: Existence, Uniqueness and Large Deviation Principles (2007)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise (2007)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)
this work references cited by second hop

References

  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 1980On stochastic equations with respect to semimartingales I.†197 cited
  • 1993On quasi-linear stochastic partial differential equations75 cited

Cited by

  • 2005On implicit and explicit discretization schemes for parabolic SPDEs in any dimension42 cited
  • 2016A First Order Scheme for Backward Doubly Stochastic Differential Equations26 cited

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