Year: 2011
Type: article
Abstract: Recently, in a paper by Jentzen and Kloeden [Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 465 (2009) 649–667], a new method for simulating nearly linear stochastic partial differential equations (SPDEs) with additive noise has been introduced. The key idea was to use suitable linear functionals of the noise process in the numerical scheme which allow a higher approximation order to be obtained. Following this approach, a new simplified version of the scheme in the above named reference is proposed and analyzed in this article. The main advantage of the convergence result given here is the higher convergence order for nonlinear parabolic SPDEs with additive noise, although the used numerical scheme is very simple to simulate and implement.
DOI: 10.1214/10-aap711
Authors: Arnulf Jentzen, Peter Kloeden, Georg Winkel
Institutions: Princeton University, Goethe University Frankfurt
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
Funder: Deutsche Forschungsgemeinschaft
OpenAlex ID: W2026409443