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Preprints
- A.-L. Haji-Ali, H. Hoel, and A. Petersson. The multi-index Monte Carlo method for semilinear stochastic partial differential equations. Preprint at arXiv:2502.00393, 2025.
- A. Andersson, A. Lang, A. Petersson and L. Schroer. Finite element approximation of Lyapunov equations for the computation of quadratic functionals of SPDEs. Preprint at arXiv:1910.05261, 2022.
Papers published or accepted for publication
- G. Lord and A. Petersson. Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs. SINUM, 63(2):1082–1107, 2025. implementation at Bitbucket.
- F. E. Benth, G. Di Nunno, G. Lord and A. Petersson. The heat modulated infinite dimensional Heston model and its numerical approximation. Stochastics, Online first, 2024.
- G. Di Nunno, S. Ortiz-Latorre, and A. Petersson. SPDE bridges with observation noise and their spatial approximation. Stoch. Proc. Appl., 158:170-207, 2023.
- M. Kovács, A. Lang, and A. Petersson. Approximation of SPDE covariance operators by finite elements: A semigroup approach. IMA J. Numer. Anal., 43(3):1324–1357, 2023.
- M. Kovács, A. Lang, and A. Petersson. Hilbert–Schmidt regularity of symmetric integral operators on bounded domains with applications to SPDE approximations. Stoch. Anal. Appl., 41(3):564-590, 2023.
- M. Kovács, A. Lang, and A. Petersson. Weak convergence of fully discrete finite element approximations of semilinear hyperbolic SPDE with additive noise. ESAIM: M2AN, 54(6):2199–2227, 2020.
- A. Petersson. Rapid covariance-based sampling of linear SPDE approximations in the multilevel Monte Carlo method. In Bruno Tuffin and Pierre L’Ecuyer, editors, Monte Carlo and Quasi-Monte Carlo Methods, pages 423–443, Cham, 2020. Springer International Publishing.
- A. Lang and A. Petersson. Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations. Math. Comput. Simulation, 143:99–113, 2018.
- A. Lang, A. Petersson and A. Thalhammer. Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions. BIT Numer. Math., 57:963–990, 2017.