Finite element and difference approximation of some linear stochastic partial differential equations
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convergencedifferences methodsfinite elementslinear elliptic equationnumerical experimentsstochastic partial differential equation
Boundary value problems for second-order elliptic equations (35J25) Initial value problems for second-order parabolic equations (35K15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
A linear elliptic differential equation with additive white noise and a linear parabolic equation with space and time white noise are considered. The solutions are defined by integral equations which contain the free function. If the noise processes are approximated by piecewise constant random processes then the solutions of the above stochastic equations have more regularity and approximate the solutions of the original problems. The approximating equations are solved by difference and finite element methods. Convergence rates are given. Numerical experiments show that the finite element methods are computationally more efficient.
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