A spectral-based numerical method for Kolmogorov equations in Hilbert spaces
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Publication:2828069
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Fokker-Planck equations (35Q84) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: We propose a numerical solution for the solution of the Fokker-Planck-Kolmogorov (FPK) equations associated with stochastic partial differential equations in Hilbert spaces. The method is based on the spectral decomposition of the Ornstein-Uhlenbeck semigroup associated to the Kolmogorov equation. This allows us to write the solution of the Kolmogorov equation as a deterministic version of the Wiener-Chaos Expansion. By using this expansion we reformulate the Kolmogorov equation as a infinite system of ordinary differential equations, and by truncation it we set a linear finite system of differential equations. The solution of such system allow us to build an approximation to the solution of the Kolmogorov equations. We test the numerical method with the Kolmogorov equations associated with a stochastic diffusion equation, a Fisher-KPP stochastic equation and a stochastic Burgers Eq. in dimension 1.
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- Numerical solution of stochastic partial differential equations using a collocation method
- Numerical analysis of degenerate Kolmogorov equations of constrained stochastic Hamiltonian systems
- Numerical Liapunov-Schmidt spectral method for \(k\)-determined problems
- A probabilistic point of view for the Kolmogorov hypoelliptic equations
- A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis
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