Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise

DOI10.1016/j.apnum.2018.10.008zbMath1407.65198OpenAlexW2898840947WikidataQ115586741 ScholiaQ115586741MaRDI QIDQ1633324

Gabriel J. Lord, Antoine Tambue

Publication date: 19 December 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.10.008

zbMATH Keywords

finite element methodparabolic stochastic partial differential equationsadditive noiseexponential integratorshigher-order approximationtransport in porous mediastrong numerical approximation

Mathematics Subject Classification ID

PDEs in connection with fluid mechanics (35Q35) Flows in porous media; filtration; seepage (76S05) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) Semilinear parabolic equations (35K58)

Related Items

Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure, Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients, Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme

Uses Software

• Expokit

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