Semigroup splitting and cubature approximations for the stochastic Navier-Stokes equations

DOI10.1137/110833841MaRDI QIDQ2903010zbMATH OpenOpenAlexFDO

Authors Philipp Dörsek

Publication date 23 August 2012

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.2579

zbMATH Keywords

stochastic partial differential equationsnumerical methodssplitting methodsstochastic Navier-Stokes equationsspectral approximationcubature methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35) Stochastic analysis applied to problems in fluid mechanics (76M35)

Abstract: Approximation of the marginal distribution of the solution of the stochastic Navier-Stokes equations on the two-dimensional torus by high order numerical methods is considered. The corresponding rates of convergence are obtained for a splitting scheme and the method of cubature on Wiener space applied to a spectral Galerkin discretisation of degree $N$. While the estimates exhibit a strong $N$ dependence, convergence is obtained for appropriately chosen time step sizes. Results of numerical simulations are provided, and confirm the applicability of the methods.

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(27)

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• High order splitting schemes with complex timesteps and their application in mathematical finance
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• A splitting semi-implicit Euler method for stochastic incompressible Euler equations on 𝕋2
• Analysis of fully discrete mixed finite element methods for time-dependent stochastic Stokes equations with multiplicative noise
• Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations
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• Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
• Strong rates of convergence of space-time discretization schemes for the 2D Navier–Stokes equations with additive noise
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence rate of splitting schemes for stochastic nonlinear Schrödinger equations
• Deep splitting method for parabolic PDEs
• Strong \(L^2\) convergence of time Euler schemes for stochastic 3D Brinkman-Forchheimer-Navier-Stokes equations
• Space-time Euler discretization schemes for the stochastic 2D Navier-Stokes equations

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