1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.NA2019
Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations
Christoph Reisinger, Zhenru Wang
In this article, we analyse the accuracy and computational complexity of estimators for expected functionals of the solution to multi-dimensional parabolic stochastic partial diffe…
math.NA2018★ 1 cited
Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
Christoph Reisinger, Zhenru Wang
In this article, we propose an implicit finite difference scheme for a two-dimensional parabolic stochastic partial differential equation (SPDE) of Zakai type. The scheme is based…
math.NA2016
Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE
Zhenru Wang, Christoph Reisinger
In this article, we propose a space-time Multi-Index Monte Carlo (MIMC) estimator for a one-dimensional parabolic stochastic partial differential equation (SPDE) of Zakai type. We…