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arXiv:1812.09036 [math.NA]AbstractReferencesReviewsResources

Adaptive time-stepping for Stochastic Partial Differential Equations with non-Lipschitz drift

Stuart Campbell, Gabriel Lord

Published 2018-12-21Version 1

We introduce an explicit, adaptive time-stepping scheme for simulation of SPDEs with non-Lipschitz drift coefficients. Strong convergence is proven for the full space-time discretisation with multiplicative noise by considering the space and time discretisation separately. Adapting the time-step size to ensure strong convergence is shown numerically to produce more accurate solutions when compared to alternative fixed time-stepping strategies for the same computational effort.

Comments: 25 pages, 4 figures
Categories: math.NA
Subjects: 65C30, 60H15
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