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An exponential Wagner-Platen type scheme for SPDEs
Sebastian Becker, Arnulf Jentzen, Peter E. Kloeden
The strong numerical approximation of semilinear stochastic partial differential equations (SPDEs) driven by infinite dimensional Wiener processes is investigated. There are a numb…
Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
Martin Hutzenthaler, Arnulf Jentzen, Xiaojie Wang
Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonl…
Galerkin approximations for the stochastic Burgers equation
Dirk Blömker, Arnulf Jentzen
Existence and uniqueness for semilinear stochastic evolution equations with additive noise by means of finite dimensional Galerkin approximations is established and the convergence…