A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise (Q1935387): Difference between revisions
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English | A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise |
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A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise (English)
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15 February 2013
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The authors consider a parabolic stochastic partial differential equation with multiplicative trace class noise of the form \[ \begin{aligned} dX_{t}(x) & =\left[ k\frac{\partial^{2}}{\partial x^{2}}X_{t}(x)+f(t,X_{t} (x))\right] dt+g(t,X_{t}(x))dW_{t}(x),\;0\leq t\leq T,\;\\ X_{t}(0) & =X_{t}(1)=0,\\ X_{0}(x) & =\xi(x),\;0<x<1. \end{aligned} \] Here \(f,\;g:\;(0,1)\times\mathbb{R}\rightarrow\mathbb{R}\) are two appropriate functions. In the paper [``A Milstein scheme for SPDEs'' (2012), \url{arXiv: 1001.2751}] by \textit{A. Jentzen} and \textit{M. Roeckner}, an infinite dimensional analog of Milstein type scheme for this problem is proposed. In the reviewed paper, the authors derive a Runge-Kutta type method. The considered problem is formulated and studied in an abstract form and the results are extended for multi-dimensional space case. Some numerical examples are presented to support the theoretical results.
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nonlinear parabolic stochastic partial differential equation
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multiplicative trace class noise
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Milstein method
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Runge-Kutta method
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numerical examples
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