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Higher order schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals.
The maximum rate of convergence of discrete approximations for stochastic differential equations
J. M. C. Clark and R. J. Cameron · 1980
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Semigroups of linear operators and applications to partial differential equations
A. Pazy · 1983
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The approximation of multiple stochastic integrals
P. E. Kloeden, E. Platen, and I. W. Wright · 1992
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Numerical solution of stochastic differential equations
P. E. Kloeden and E. Platen · 1995
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Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
P. E. Kloeden and S. Shott · 2001
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Stabilization of stochastic Hopfield neural network with distributed parameters
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Finite element methods for parabolic stochastic PDE’s
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A concise course on stochastic partial differential equations
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Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
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An efficient derivative-free Milstein scheme for stochastic partial differential equations with commutative noise
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An exponential Wagner-Platen type scheme for SPDEs
S. Becker, A. Jentzen, and P. E. Kloeden · 2016
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Derivative-free numerical schemes for stochastic partial differential equations
C. Leonhard · 2016
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Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise
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