相关论文: Rate of Convergence of Space Time Approximations f…
We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observations of the driving Brownian motion. We prove lower error…
We investigate the longtime behavior of stochastic partial differential equations (SPDEs) with differential operators that depend on time and the underlying probability space. In particular, we consider stochastic parabolic evolution…
A method for numerical approximation of a new class of fractional parabolic stochastic evolution equations is introduced and analysed. This class of equations has recently been proposed as a space-time extension of the SPDE-method in…
The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only…
The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t)_{t\ge 0}$ considered include the…
Strong convergence rates for numerical approximations of semilinear stochastic partial differential equations (SPDEs) with smooth and regular nonlinearities are well understood in the literature. Weak convergence rates for numerical…
We introduce an explicit, adaptive time-stepping scheme for the simulation of SPDEs with one-sided Lipschitz drift coefficients. Strong convergence rates are proven for the full space-time discretisation with multiplicative trace-class…
In the recent article [Jentzen, A., M\"uller-Gronbach, T., and Yaroslavtseva, L., Commun. Math. Sci., 14(6), 1477--1500, 2016] it has been established that for every arbitrarily slow convergence speed and every natural number $d \in…
In this paper we develop a stochastic integration theory for processes with values in a quasi-Banach space. The integrator is a cylindrical Brownian motion. The main results give sufficient conditions for stochastic integrability. They are…
We report on a time regularity result for stochastic evolutionary PDEs with monotone coefficients. If the diffusion coefficient is bounded in time without additional space regularity we obtain a fractional Sobolev type time regularity of…
This work introduces a general framework for establishing the long time accuracy for approximations of Markovian dynamical systems on separable Banach spaces. Our results illuminate the role that a certain uniformity in Wasserstein…
This paper considers a general framework for the study of the existence of quasi-variational and variational solutions to a class of nonlinear evolution systems in convex sets of Banach spaces describing constraints on a linear combination…
Sufficient conditions for the invariance of evolution problems governed by perturbations of (possibly nonlinear) $m$-accretive operators are provided. The conditions for the invariance with respect to sublevel sets of a constraint…
This paper is concerned with strong convergence and almost sure convergence for neutral stochastic differential delay equations under non-globally Lipschitz continuous coefficients. Convergence rates of $\theta$-EM schemes are given for…
The main result of this article establishes strong convergence rates on the whole probability space for explicit space-time discrete numerical approximations for a class of stochastic evolution equations with possibly non-globally monotone…
We show how the approach of Yosida approximation of the derivative serves to obtain new results for evolution systems. Using this method we obtain multivalued time dependent perturbation results. Additionally, translation invariant…
In stochastic partial differential equations it is important to have pathwise regularity properties of stochastic convolutions. In this note we present a new sufficient condition for the pathwise continuity of stochastic convolutions in…
In this contribution, we provide convergence rates for a finite volume scheme of a stochastic non-linear parabolic equation with multiplicative Lipschitz noise and homogeneous Neumann boundary conditions. More precisely, we give an error…
In this paper, we prove convergence for contractive time discretisation schemes for semi-linear stochastic evolution equations with irregular Lipschitz nonlinearities, initial values, and additive or multiplicative Gaussian noise on…
This short survey article stems from recent progress on critical cases of stochastic evolution equations in variational formulation with additive, multiplicative or gradient noises. Typical examples appear as the limit cases of the…