Milstein approximation for advection-diffusion equations driven by multiplicative noncontinous martingale noises
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https://doi.org/10.3929/ethz-a-010400810External links
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Journal / 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 (SAM) / Seminar for Applied Mathematics (SAM)
Funding
9927d175ae752780d8ab005ce6d4caa6
Notes
Journal: Applied Mathematics and Optimization, 2012.More
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