A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
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Publication:2333229
additive noisefinite element methodhigher order approximationmodified semi-implicit Euler-Maruyamaparabolic stochastic partial differential equationsstrong numerical approximationtransport in porous media
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Finite element methods applied to problems in fluid mechanics (76M10) Flows in porous media; filtration; seepage (76S05)
Abstract: We consider the numerical approximation of a general second order semi--linear parabolic stochastic partial differential equation (SPDE) driven by additive space-time noise. We introduce a new modified scheme using a linear functional of the noise with a semi--implicit Euler--Maruyama method in time and in space we analyse a finite element method (although extension to finite differences or finite volumes would be possible). We prove convergence in the root mean square norm for a diffusion reaction equation and diffusion advection reaction equation. We present numerical results for a linear reaction diffusion equation in two dimensions as well as a nonlinear example of two-dimensional stochastic advection diffusion reaction equation. We see from both the analysis and numerics that the proposed scheme has better convergence properties than the standard semi--implicit Euler--Maruyama method.
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