Power-law noises over general spatial domains and on nonstandard meshes

DOI10.1137/140985433zbMATH Open1322.65024arXiv1410.4755OpenAlexW2963712175MaRDI QIDQ2945151FDOQ2945151

Authors: Hans Werner van Wyk, Max Gunzburger, John Burkhardt, Miroslav K. Stoyanov 

Publication date: 9 September 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1410.4755

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zbMATH Keywords

Gaussian random fieldsstochastic partial differential equationstime seriesalgorithmfractional Brownian motionfractional Laplaciannumerical exampleself-similaritypower lawsfractional Brownian surfaces

Mathematics Subject Classification ID

Random fields (60G60) Brownian motion (60J65) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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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

Uses Software

• Schwarz-Christoffel
• cnoise
• mftoolbox
• Algorithm 97

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