A Simplified Milstein Scheme for SPDEs with Multiplicative Noise
This paper deals with a research question raised by Jentzen and Röckner (A Milstein scheme for SPDEs, arXiv:1001.2751v4 (2012)), whether the exponential term in their introduced scheme can be replaced by a simpler mollifier. This replacement can lead to more simplification and computational reductio...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/140849 |
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| author | B. Ghayebi S. M. Hosseini |
| author_facet | B. Ghayebi S. M. Hosseini |
| author_sort | B. Ghayebi |
| collection | DOAJ |
| description | This paper deals with a research question raised by Jentzen and Röckner (A Milstein scheme for SPDEs, arXiv:1001.2751v4 (2012)), whether the exponential term in their introduced scheme can be replaced by a simpler mollifier. This replacement can lead to more simplification and computational reduction in simulation. So, in this paper, we essentially replace the exponential term with a Padé approximation of order 1 and denote the resulting scheme by simplified Milstein scheme. The convergence analysis for this scheme is carried out and it is shown that even with this replacement the order of convergence is maintained, while the resulting scheme is easier to implement and slightly more efficient computationally. Some numerical tests are given that confirm the order of accuracy and also computational cost reduction. |
| format | Article |
| id | doaj-art-bac8beb3d1bf4d03adf39e3ac70c99ec |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-bac8beb3d1bf4d03adf39e3ac70c99ec2025-02-03T01:01:26ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/140849140849A Simplified Milstein Scheme for SPDEs with Multiplicative NoiseB. Ghayebi0S. M. Hosseini1Department of Applied Mathematics, Tarbiat Modares University, P.O. Box 14115-175, Tehran, IranDepartment of Applied Mathematics, Tarbiat Modares University, P.O. Box 14115-175, Tehran, IranThis paper deals with a research question raised by Jentzen and Röckner (A Milstein scheme for SPDEs, arXiv:1001.2751v4 (2012)), whether the exponential term in their introduced scheme can be replaced by a simpler mollifier. This replacement can lead to more simplification and computational reduction in simulation. So, in this paper, we essentially replace the exponential term with a Padé approximation of order 1 and denote the resulting scheme by simplified Milstein scheme. The convergence analysis for this scheme is carried out and it is shown that even with this replacement the order of convergence is maintained, while the resulting scheme is easier to implement and slightly more efficient computationally. Some numerical tests are given that confirm the order of accuracy and also computational cost reduction.http://dx.doi.org/10.1155/2014/140849 |
| spellingShingle | B. Ghayebi S. M. Hosseini A Simplified Milstein Scheme for SPDEs with Multiplicative Noise Abstract and Applied Analysis |
| title | A Simplified Milstein Scheme for SPDEs with Multiplicative Noise |
| title_full | A Simplified Milstein Scheme for SPDEs with Multiplicative Noise |
| title_fullStr | A Simplified Milstein Scheme for SPDEs with Multiplicative Noise |
| title_full_unstemmed | A Simplified Milstein Scheme for SPDEs with Multiplicative Noise |
| title_short | A Simplified Milstein Scheme for SPDEs with Multiplicative Noise |
| title_sort | simplified milstein scheme for spdes with multiplicative noise |
| url | http://dx.doi.org/10.1155/2014/140849 |
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