Numerical solutions of Burgers' equation with random initial conditions using the Wiener chaos expansion and the Lax-Wendroff scheme
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) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
The author considers the following Burgers' equation with random initial condition: \(v_t+ f(v)_x=0\), \(v(x,0,\xi)=g(x,\xi)\) with \(f(x)=\frac{1}{2}\). The argument \(\xi\) in \(g(.,.)\) is a standard Gaussian random variable. Using the Wiener chaos expansion, the random solution of the above equation is represented as \(v(x,t,\xi)=\sum_{n=0}^{\infty}\frac{1}{\sqrt{n}}v^n(x,t)\xi_n(\xi)\), where \(v^n(x,t)\) and \(\xi_n(\xi)\) are the Hermite-Fourier coefficients and Wick polynomials of order \(n\), respectively. Applying this representation to the solution in the above equation, the author develops a modification of the Lax-Wendroff scheme for the deterministic conservation law. The resulting method is tested numerically concerning stability, accuracy and efficiency. Computed are the first moments of the solution and a comparison is made with a reference solution obtained by using a Monte Carlo method.
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