A trigonometric method for the linear stochastic wave equation
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additive noisegeometric numerical integrationstochastic trigonometric schemesstochastic wave equationstrong convergencetrace formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: A fully discrete approximation of the linear stochastic wave equation driven by additive noise is presented. A standard finite element method is used for the spatial discretisation and a stochastic trigonometric scheme for the temporal approximation. This explicit time integrator allows for error bounds independent of the space discretisation and thus do not have a step size restriction as in the often used St"ormer-Verlet-leap-frog scheme. Moreover it enjoys a trace formula as does the exact solution of our problem. These favourable properties are demonstrated with numerical experiments.
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