Analysis of a splitting method for stochastic balance laws

DOI10.1093/IMANUM/DRW075MaRDI QIDQ4555928zbMATH OpenOpenAlexFDO

Authors E. B. Storrøsten, Kenneth H. Karlsen

Publication date 23 November 2018

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.02428, http://urn.nb.no/URN:NBN:no-80416

Mathematics Subject Classification ID

First-order nonlinear hyperbolic equations (35L60) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: We analyze a semi-discrete splitting method for conservation laws driven by a semilinear noise term. Making use of fractional $BV$ estimates, we show that the splitting method produces a compact sequence of approximate solutions converging to the exact solution, as the time step $Deltatightarrow0$. Under the assumption of a homogenous noise function, and thus the availability of $BV$ estimates, we provide an $L^1$ error estimate. Bringing into play a generalization of Kruzkov's entropy condition, permitting the "Kruzkov constants" to be Malliavin differentiable random variables, we establish an $L^1$ convergence rate of order $frac13$ in $Deltat$.

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(8)

• Path-dependent convex conservation laws
• Homogenization of stochastic conservation laws with multiplicative noise
• Approximation of backward stochastic partial differential equations by a splitting-up method
• Theoretical study and numerical simulation of pattern formation in the deterministic and stochastic gray-Scott equations
• Numerical methods for conservation laws with rough flux
• Well-posedness theory for stochastically forced conservation laws on Riemannian manifolds
• Quantitative compactness estimates for stochastic conservation laws
• Convergence of an operator splitting scheme for fractional conservation laws with Lévy noise

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