Milstein approximation for advection-diffusion equations driven by multiplicative noncontinous martingale noises
Permanent link
https://doi.org/10.3929/ethz-a-010400810Publication status
publishedJournal / series
Research report / Seminar für Angewandte MathematikVolume
Publisher
ETH-ZürichEdition / version
Revised: August 2012Subject
ADVEKTIONSGLEICHUNGEN (ANALYSIS); DIFFUSIONSGLEICHUNGEN + WÄRMELEITUNGSGLEICHUNGEN (ANALYSIS); STOCHASTISCHE DIFFERENTIALGLEICHUNGEN (WAHRSCHEINLICHKEITSRECHNUNG); MARTINGALE + SEMIMARTINGALE (WAHRSCHEINLICHKEITSRECHNUNG); GALERKIN-VERFAHREN (NUMERISCHE MATHEMATIK); ASYMPTOTISCHE APPROXIMATION (NUMERISCHE MATHEMATIK); ADVECTION EQUATIONS (MATHEMATICAL ANALYSIS); DIFFUSION EQUATIONS + HEAT EQUATIONS (MATHEMATICAL ANALYSIS); STOCHASTIC DIFFERENTIAL EQUATIONS (PROBABILITY THEORY); MARTINGALES + SEMIMARTINGALES (PROBABILITY THEORY); GALERKIN METHOD (NUMERICAL MATHEMATICS); ASYMPTOTIC APPROXIMATION (NUMERICAL MATHEMATICS)Organisational unit
02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics
Funding
247277 - Automated Urban Parking and Driving (EC)
Notes
Journal: Applied Mathematics and Optimization, 2012.More
Show all metadata
ETH Bibliography
yes
Altmetrics