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Some remarks on the numerical approximation of stochastic differential equations
Author(s):
Brian
D.
Ewald;
Roger
Témam
Journal:
Quart. Appl. Math.
66
(2008),
595-605.
MSC (2000):
Primary 65C20
Posted:
July 2, 2008
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Abstract:
The aim of this article is to discuss the convergence of some numerical stochastic schemes in geophysical fluid dynamics (GFD) and to make some remarks on the numerical analysis of stochastic differential equations (SDEs).
References:
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- [ET2]
- Ewald, Brian D.; Témam, Roger, Numerical analysis of stochastic schemes in geophysics, SIAM J. Numer. Anal. 42 (2005), no. 6, 2257-2276. MR 2139392 (2006b:65006)
- [ET1]
- Ewald, B.D.; Témam, R., Analysis of stochastic numerical schemes for the evolution equations of geophysics, Appl. Math. Lett. 16 (2003), no. 8, 1223-1229. MR 2015716
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- Ewald, B.D.; Penland, C.; Témam, R., Accurate integration of stochastic climate models with application to El Niño, Monthly Weather Review, 132, 2004, 154-164.
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- Ewald, B.D., Error and convergence of two numerical schemes for stochastic differential equations, Numer. Methods Partial Differential Equations 22 (2006), 1247-1253. MR 2248048 (2007e:65008)
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- Talay, Denis, Probabilistic numerical methods for partial differential equations: Elements of analysis. Probabilistic models for nonlinear partial differential equations (Montecatini Terme 1995), 148-196, Lecture Notes in Math., 1627, Springer, Berlin, 1996. MR 1431302 (98j:60092)
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- Talay, Denis, Discretization of stochastic differential equations. Application to simulation. Stochastic numerical methods for partial differential equations. Numerical Mathematics and Advanced Applications (Jyväskä 1999), 72-86. World Sci. Publ., River Edge, NJ, 2000. MR 1936171 (2003i:65010)
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Additional Information:
Brian
D.
Ewald
Affiliation:
Department of Mathematics, Florida State University, Room 205C, 1017 Academic Way, Tallahassee, Florida 32306-4510
Roger
Témam
Affiliation:
Institute for Scientific Computing and Applied Mathematics, Indiana University, Rawles Hall, Bloomington, Indiana 47405-5701
PII:
S0033-569X-08-01128-1
Received by editor(s):
May 15, 2007
Posted:
July 2, 2008
Copyright of article:
Copyright
2008,
Brown University
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