Abstract: Some comments on the Milstein scheme for SPDEs with non-commutative noise Solutions for stochastic partial differential equations (SPDEs) often have to be computed numerically. Therefore, space and time are usually discretized in order to calculate an approximate solution in finite dimensional subspaces. In this talk, semi-linear SPDEs of evolution type with non-commutative noise are considered. Recently, a Milstein scheme for the discrete-time approximation has been proposed by A. Jentzen and M. Röckner for such SPDEs with commutative noise. By applying approximation algorithms for infinite-dimensional iterated stochastic integrals the Milstein scheme can be applied to SPDEs with non-commutative noise as well. Therefore, the resulting effective order of convergence of the Milstein scheme in the non-commutative noise setting will be discussed.
|Veranstaltende||Lehrstuhl Prof. Dr. Thomas Müller-Gronbach, Fakultät für Informatik und Mathematik|
|E-Mail (für Rückfragen)||email@example.com|