Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance
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Publication:2211071
DOI10.1016/J.RINAM.2019.100068zbMATH Open1452.65290arXiv1806.04317OpenAlexW2807885815MaRDI QIDQ2211071FDOQ2211071
Authors: Will Pazner, N. Trask, Paul J. Atzberger 
Publication date: 10 November 2020
Published in: Results in Applied Mathematics (Search for Journal in Brave)
Abstract: We introduce a general framework for approximating parabolic Stochastic Partial Differential Equations (SPDEs) based on fluctuation-dissipation balance. Using this approach we formulate Stochastic Discontinuous Galerkin Methods (SDGM). We show how methods with linear-time computational complexity can be developed for handling domains with general geometry and generating stochastic terms handling both Dirichlet and Neumann boundary conditions. We demonstrate our approach on example systems and contrast with alternative approaches using direct stochastic discretizations based on random fluxes. We show how our Fluctuation-Dissipation Discretizations (FDD) framework allows for compensating for differences in dissipative properties of discrete numerical operators relative to their continuum counter-parts. This allows us to handle general heterogeneous discretizations capturing accurately statistical relations. Our FDD framework provides a general approach for formulating SDGM discretizations and other numerical methods for robust approximation of stochastic differential equations.
Full work available at URL: https://arxiv.org/abs/1806.04317
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