Elliptic boundary value problems with Gaussian white noise loads

DOI10.1016/J.SPA.2017.11.007MaRDI QIDQ1615903zbMATH OpenOpenAlexFDO

Authors Sari Lasanen, Lassi Roininen, Janne M. J. Huttunen

Publication date 31 October 2018

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1603.00661

zbMATH Keywords

boundary value problemsfinite element methodsGaussian measuresstochastic partial differential equationswhite noise

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: Linear second order elliptic boundary value problems (BVP) on bounded Lipschitz domains are studied in the case of Gaussian white noise loads. Especially, Neumann and Robin BVPs are considered. The main obstacle for applying the usual variational approach is that the Gaussian white noise has irregular realizations. In particular, the corresponding Neumann boundary values are not well-defined in the ordinary sense. In this work, the BVP is reformulated by replacing the continuity of the boundary trace mapping with measurability. Instead of using variational methods alone, the reformulation of the BVP derives also from Cameron-Martin space techniques. The reformulation essentially returns the study of irregular white noise loads to study of $L^2$-loads. Admissibility of the reformulation is demonstrated by showing that usual finite element approximations of the BVP with discretized white noise loads converge to the solution of the reformulated problem. For Neumann and Robin BVPs, the finite dimensional approximations have been utilized before. However, here also the infinite-dimensional limit is considered.

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Cited in

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