Euler-Maruyama approximations of the stochastic heat equation on the sphere

DOI10.3934/jcd.2023012arXiv2307.07564MaRDI QIDQ6120387

Annika Lang, Ioanna Motschan-Armen

Publication date: 20 February 2024

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2307.07564

zbMATH Keywords

strong convergencestochastic heat equationspectral approximationEuler-Maruyama schemesecond momentisotropic Wiener noisestochastic evolution on surfaces

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Spherical harmonics (33C55)

Cites Work

• Covariance structure of parabolic stochastic partial differential equations
• Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential equations
• A Lax equivalence theorem for stochastic differential equations
• Analysis of the Laplacian on a complete Riemannian manifold
• A non-uniform discretization of stochastic heat equations with multiplicative noise on the unit sphere
• Numerical approximation and simulation of the stochastic wave equation on the sphere
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations