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dc.contributor.author
Barth, Andrea
dc.contributor.author
Lang, Annika
dc.date.accessioned
2022-08-26T09:19:42Z
dc.date.available
2017-06-14T01:25:37Z
dc.date.available
2022-08-26T07:52:36Z
dc.date.available
2022-08-26T09:07:48Z
dc.date.available
2022-08-26T09:19:42Z
dc.date.issued
2011-05
dc.identifier.uri
http://hdl.handle.net/20.500.11850/154998
dc.identifier.doi
10.3929/ethz-a-010400810
dc.description.abstract
In this paper the strong approximation of a stochastic partial differential equation, whose differential operator is of advection--diffusion type and which is driven by a multiplicative infinite-dimensional càdlàg square integrable martingale, is presented. A finite-dimensional projection of the infinite-dimensional equation, for example a Galerkin projection, with adapted time stepping is used. Error estimates for the discretized equation are derived in $L^2$ and almost sure senses. Besides space and time discretizations, noise approximations are also provided. Finally, simulations complete the paper.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Seminar for Applied Mathematics, ETH Zurich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Finite Element method
en_US
dc.subject
stochastic partial differential equation
en_US
dc.subject
martingale
en_US
dc.subject
Galerkin method
en_US
dc.subject
Zakai equation
en_US
dc.subject
advection-diffusion PDE
en_US
dc.subject
Milstein scheme
en_US
dc.subject
Crank--Nicolson approximation
en_US
dc.subject
Karhunen-Loève expansion
en_US
dc.subject
Adapted time stepping
en_US
dc.title
Milstein approximation for advection-diffusion equations driven by multiplicative noncontinous martingale noises
en_US
dc.type
Report
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
SAM Research Report
ethz.journal.volume
2011-36
en_US
ethz.size
25 p.
en_US
ethz.version.edition
Revised: August 2012
en_US
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
en_US
ethz.grant
Automated Urban Parking and Driving
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03435 - Schwab, Christoph / Schwab, Christoph
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics
ethz.identifier.url
https://math.ethz.ch/sam/research/reports.html?id=2011-36
ethz.grant.agreementno
247277
ethz.grant.agreementno
247277
ethz.grant.fundername
EC
ethz.grant.fundername
EC
ethz.grant.funderDoi
10.13039/501100001711
ethz.grant.funderDoi
10.13039/501100001711
ethz.grant.program
FP7
ethz.grant.program
FP7
ethz.date.deposited
2017-06-14T01:26:45Z
ethz.source
ECOL
ethz.identifier.importid
imp59366b7249a2268707
ethz.ecolpid
eth:47509
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-18T20:28:30Z
ethz.rosetta.lastUpdated
2020-02-15T04:42:15Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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