Solving parabolic stochastic partial differential equations via averaging over characteristics

Milstein, G.; Tretyakov, M.

doi:10.1090/S0025-5718-09-02250-9

Solving parabolic stochastic partial differential equations via averaging over characteristics
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by G. N. Milstein and M. V. Tretyakov PDF

Math. Comp. 78 (2009), 2075-2106 Request permission

Abstract:

The method of characteristics (the averaging over the characteristic formula) and the weak-sense numerical integration of ordinary stochastic differential equations together with the Monte Carlo technique are used to propose numerical methods for linear stochastic partial differential equations (SPDEs). Their orders of convergence in the mean-square sense and in the sense of almost sure convergence are obtained. A variance reduction technique for the Monte Carlo procedures is considered. Layer methods for linear and semilinear SPDEs are constructed and the corresponding convergence theorems are proved. The approach developed is supported by numerical experiments.

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