A Milstein Scheme for SPDEs

@article{Jentzen2015AMS,
  title={A Milstein Scheme for SPDEs},
  author={A. Jentzen and M. R{\"o}ckner},
  journal={Foundations of Computational Mathematics},
  year={2015},
  volume={15},
  pages={313-362}
}
  • A. Jentzen, M. Röckner
  • Published 2015
  • Mathematics, Computer Science
  • Foundations of Computational Mathematics
This article studies an infinite-dimensional analog of Milstein’s scheme for finite-dimensional stochastic ordinary differential equations (SODEs). The Milstein scheme is known to be impressively efficient for SODEs which fulfill a certain commutativity type condition. This article introduces the infinite-dimensional analog of this commutativity type condition and observes that a certain class of semilinear stochastic partial differential equation (SPDEs) with multiplicative trace class noise… Expand
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