Power-law noises over general spatial domains and on nonstandard meshes
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Publication:2945151
Abstract: Power-law noises abound in nature and have been observed extensively in both time series and spatially varying environmental parameters. Although, recent years have seen the extension of traditional stochastic partial differential equations to include systems driven by fractional Brownian motion, spatially distributed scale-invariance has received comparatively little attention, especially for parameters defined over non-standard spatial domains. This paper discusses the generalization of power-law noises to general spatial domains by outlining their theoretical underpinnings as well as addressing their numerical simulation on arbitrary meshes. Three computational algorithms are presented for efficiently generating their sample paths, accompanied by numerous numerical illustrations.
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Cited in
(4)- A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model
- Simulations for Karlin random fields
- Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs
- Numerical Approximation of Optimal Convergence for Fractional Elliptic Equations with Additive Fractional Gaussian Noise
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