Milstein Approximation for Advection-Diffusion Equations Driven by Multiplicative Noncontinuous Martingale Noises
Open access
Date
2012-12Type
- Journal Article
ETH Bibliography
yes
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Permanent link
https://doi.org/10.3929/ethz-b-000059148Publication status
publishedExternal links
Journal / series
Applied Mathematics & OptimizationVolume
Pages / Article No.
Publisher
SpringerSubject
Finite element method; Stochastic partial differential equation; Martingale; Galerkin method; Zakai equation; Advection-diffusion PDE; Milstein scheme; Karhunen-Loeve expansion; Nonequidistant time steppingNotes
Published online 10 August 2012. It was possible to publish this article open access thanks to a Swiss National Licence with the publisherMore
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ETH Bibliography
yes
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