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math.NA2015★ 31 cited
High-order integrator for sampling the invariant distribution of a class of parabolic SPDEs with additive space-time noise
Charles-Edouard Bréhier, Gilles Vilmart
We introduce a time-integrator to sample with high order of accuracy the invariant distribution for a class of semilinear SPDEs driven by an additive space-time noise. Combined wit…
math.NA2012
Approximation of the invariant measure with an Euler scheme for Stochastic PDE's driven by Space-Time White Noise
Charles-Edouard Bréhier
In this article, we consider a stochastic PDE of parabolic type, driven by a space-time white-noise, and its numerical discretization in time with a semi-implicit Euler scheme. Whe…
math.NA2012
Analysis of a HMM time-discretization scheme for a system of Stochastic PDE's
Charles-Edouard Bréhier
We consider the discretization in time of a system of parabolic stochastic partial differential equations with slow and fast components; the fast equation is driven by an additive…