70 citations · 274 across the 23 of their papers we have counts for
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Accelerated finite elements schemes for parabolic stochastic partial differential equations
István Gyöngy, Annie Millet
For a class of finite elements approximations for linear stochastic parabolic PDEs it is proved that one can accelerate the rate of convergence by Richardson extrapolation. More pr…
A Feynman-Kac formula for stochastic Dirichlet problems
Máté Gerencsér, István Gyöngy
A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover t…
A note on Euler approximations for stochastic differential equations with delay
Istvan Gyöngy, Sotirios Sabanis
An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved u…
A comparison principle for stochastic integro-differential equations
Konstantinos Dareiotis, Istvan Gyongy
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for th…
Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations
I. Gyöngy, P. R. Stinga
In this paper we show that the rate of convergence of Wong-Zakai approximations for stochastic partial differential equations driven by Wiener processes is essentially the same as…
Accelerated finite difference schemes for stochastic partial differential equations in the whole space
Istvan Gyongy, Nicolai Krylov
We give sufficient conditions under which the convergence of finite difference approximations in the space variable of the solution to the Cauchy problem for linear stochastic PDEs…