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The numerical approximation of stochastic partial differential equations. (English) Zbl 1205.60130
Summary: The numerical solution of stochastic partial differential equations (SPDEs) is at a stage of development roughly similar to that of stochastic ordinary differential equations (SODEs) in the 1970s, when stochastic Taylor schemes based on an iterated application of the Itô formula were introduced and used to derive higher order numerical schemes. An Itô formula in the generality needed for Taylor expansions of the solution of a SPDE is however not available. Nevertheless, it was shown recently how stochastic Taylor expansions for the solution of a SPDE can be derived from the mild form representation of the SPDE, which avoid the need of an Itô formula. A brief review of the literature is given here and the new stochastic Taylor expansions are discussed along with numerical schemes that are based on them. Both strong and pathwise convergence are considered.
MSC:
60H35Computational methods for stochastic equations
60H15Stochastic partial differential equations
60H15Stochastic partial differential equations
35R60PDEs with randomness, stochastic PDE
60H35Computational methods for stochastic equations
65C30Stochastic differential and integral equations
Software:
RODAS
References:
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