Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise

DOI10.1137/130932156zbMATH Open1327.60133arXiv1505.03771OpenAlexW2008382870MaRDI QIDQ2946202FDOQ2946202

Authors: Zhongqiang Zhang, M. V. Tretyakov, B. Rozovskii, George Em Karniadakis 

Publication date: 16 September 2015

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

Abstract: We compare Wiener chaos and stochastic collocation methods for linear advection-reaction-diffusion equations with multiplicative white noise. Both methods are constructed based on a recursive multi-stage algorithm for long-time integration. We derive error estimates for both methods and compare their numerical performance. Numerical results confirm that the recursive multi-stage stochastic collocation method is of order $Delta$ (time step size) in the second-order moments while the recursive multi-stage Wiener chaos method is of order $Delt{a}^{mathsfN}+Delt{a}^2$ ($mathsfN$ is the order of Wiener chaos) for advection-diffusion-reaction equations with commutative noises, in agreement with the theoretical error estimates. However, for non-commutative noises, both methods are of order one in the second-order moments.

Full work available at URL: https://arxiv.org/abs/1505.03771

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zbMATH Keywords

weak convergencemultiplicative white noiseWiener chaosWong-Zakai approximationspectral expansionadvection-diffusion-reaction equationsmultistage stochastic collocation method

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) White noise theory (60H40) Numerical solutions to stochastic differential and integral equations (65C30)

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• A multistage Wiener chaos expansion method for stochastic advection-diffusion-reaction equations
• Logarithmic gradient transformation and chaos expansion of Itô processes
• Output regulation control for switched stochastic delay systems with dissipative property under error-dependent switching
• Numerical solutions of stochastic PDEs driven by arbitrary type of noise
• Numerical solutions of stochastic PDEs driven by Ornstein-Uhlenbeck noise
• A recursive sparse grid collocation method for differential equations with white noise

Uses Software

• HRMSYM

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