High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise

DOI10.1137/15M1021088zbMath1346.60105arXiv1505.05061OpenAlexW3106482916MaRDI QIDQ3186110

Gilles Vilmart, Charles-Edouard Bréhier

Publication date: 8 August 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05061

zbMATH Keywords

stochastic partial differential equationsergodicityinvariant measurespace-time white noisepostprocessor

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

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