2 papers
math.PR2017
Iterated Stochastic Integrals in Infinite Dimensions - Approximation and Error Estimates
Claudine Leonhard, Andreas Rößler
Higher order numerical schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this…
math.NA2015
Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise
Claudine Leonhard, Andreas Rößler
We consider a higher-order Milstein scheme for stochastic partial differential equations with trace class noise which fulfill a certain commutativity condition. A novel technique t…