Concepedia

The Numerical Approximation of Stochastic Partial Differential Equations

Arnulf Jentzen, Peter E. Kloeden

Milan Journal of Mathematics · 2009 · 160 citations · 88 references

Concepts

Natural SciencesComputational EngineeringComputational PhysicsStochastic ModelingStochastic ProcessesDiffusion ProcessesNumerical AlgorithmsNumerical AnalysisNumerical Methods For Differential EquationsPartial Differential EquationsStochastic Differential EquationsDiscretization Of Partial Differential EquationsNumerical Analysis Of Partial Differential EquationsNumerical Methods For Stochastic Differential EquationsNumerical Solutions Of Partial Differential EquationsStochastic Partial Differential Equations

References

88

One-parameter semigroups for linear evolution equations

Klaus‐Jochen Engel, Rainer Nagel · Semigroup Forum · 2001 · 3.5K citations

Natural Sciences, Mathematics, Differential Equations +9

An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

Desmond J. Higham · SIAM Review · 2001 · 3.1K citations

Natural Sciences, Computer Science, Dynamical Systems +16

The Numerical Analysis of Ordinary Differential Equations; Runge-Kutta and General Linear Methods.

Kenneth R. Jackson, J. C. Butcher · Mathematics of Computation · 1988 · 1.1K citations

Natural Sciences, Mathematics, Computational Mechanics +11

Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations

Ivo Babuška, Raúl Tempone, Georgios E. Zouraris · SIAM Journal on Numerical Analysis · 2004 · 849 citations

Computing, Computational Engineering, Finite Element Analysis +16

The numerical analysis of ordinary differential equations

Mathematics and Computers in Simulation · 1987 · 770 citations

Natural Sciences, Mathematics, Physics +14