most citedStrong and weak divergence of exponential and linear-implicit Euler approximations for stochastic partial differential equations with superlinearly growing nonlinearities

14 citations · 14 across the 1 of their papers we have counts for

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1 paper

math.NA2019★ 14 cited

Strong and weak divergence of exponential and linear-implicit Euler approximations for stochastic partial differential equations with superlinearly growing nonlinearities

Matteo Beccari, Martin Hutzenthaler, Arnulf Jentzen +3

The explicit Euler scheme and similar explicit approximation schemes (such as the Milstein scheme) are known to diverge strongly and numerically weakly in the case of one-dimension…