Publications

Preprints

G. Lord and A. Petersson. Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs. Preprint at arXiv:2210.11102, implementation at Bitbucket, 2022.
F. E. Benth, G. Di Nunno, G. Lord and A. Petersson. The heat modulated infinite dimensional Heston model and its numerical approximation. Preprint at arXiv:2206.10166, 2022.
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, 2019.

Papers published or accepted for publication

G. Di Nunno, S. Ortiz-Latorre, and A. Petersson. SPDE bridges with observation noise and their spatial approximation. To appear in “Stochastic Processes and their Applications”. Preprint at arXiv:2112.11141, 2023.
M. Kovács, A. Lang, and A. Petersson. Approximation of SPDE covariance operators by finite elements: A semigroup approach. To appear in “IMA Journal of Numerical Analysis”. 2022.
M. Kovács, A. Lang, and A. Petersson. Hilbert–Schmidt regularity of symmetric integral operators on bounded domains with applications to SPDE approximations. To appear in “Stochastic Analysis and Applications”. 2022.
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.