Finite Volume Approximations for Non-linear Parabolic Problems with Stochastic Forcing

DOI10.1007/978-3-031-40864-9_10MaRDI QIDQ6182851zbMATH OpenOpenAlexFDO

Authors Caroline Bauzet, Flore Nabet, Aleksandra Zimmermann

Publication date 22 December 2023

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2303.13125

zbMATH Keywords

diffusion-convection equationfinite-volume methodmultiplicative Lipschitz noisestochastic nonlinear parabolic equationupwind schemevariational approach

Mathematics Subject Classification ID

Variational methods applied to PDEs (35A15) Nonlinear parabolic equations (35K55) Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Finite volume methods for boundary value problems involving PDEs (65N08)

Abstract: We propose a two-point flux approximation finite-volume scheme for a stochastic non-linear parabolic equation with a multiplicative noise. The time discretization is implicit except for the stochastic noise term in order to be compatible with stochastic integration in the sense of It^{o}. We show existence and uniqueness of solutions to the scheme and the appropriate measurability for stochastic integration follows from the uniqueness of approximate solutions.

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Cites work

• Finite volume methods
• Finite-volume approximation of the invariant measure of a viscous stochastic scalar conservation law
• scientific article; zbMATH DE number 3302617 (Why is no real title available?)
• Stochastic evolution equations

Cited in

(5)

• The stochastic finite volume method
• A stochastic approximation for fully nonlinear free boundary parabolic problems
• Convergence rates for a finite volume scheme of the stochastic heat equation
• Theoretical analysis of a finite-volume scheme for a stochastic Allen-Cahn problem with constraint
• On a finite-volume approximation of a diffusion-convection equation with a multiplicative stochastic force

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