Milstein Approximation for Advection-Diffusion Equations Driven by Multiplicative Noncontinuous Martingale Noises
- Journal Article
Rights / licenseIn Copyright - Non-Commercial Use Permitted
Journal / seriesApplied mathematics and optimization
Pages / Article No.
SubjectFinite element method; Stochastic partial differential equation; Martingale; Galerkin method; Zakai equation; Advection-diffusion PDE; Milstein scheme; Karhunen-Loeve expansion; Nonequidistant time stepping
NotesPublished online 10 August 2012. It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
MoreShow all metadata