Fully-discrete finite element approximations for a fourth-order linear stochastic parabolic equation with additive space-time white noise

DOI10.1051/M2AN/2010003zbMATH Open1189.65018arXiv0906.1828OpenAlexW2142800562MaRDI QIDQ3552263FDOQ3552263

Authors: Georgios T. Kossioris, Georgios E. Zouraris 

Publication date: 14 April 2010

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Abstract: We consider an initial- and Dirichlet boundary- value problem for a fourth-order linear stochastic parabolic equation, in two or three space dimensions, forced by an additive space-time white noise. Discretizing the space-time white noise a modeling error is introduced and a regularized fourth-order linear stochastic parabolic problem is obtained. Fully-discrete approximations to the solution of the regularized problem are constructed by using, for discretization in space, a standard Galerkin finite element method based on C1 piecewise polynomials, and, for time-stepping, the Backward Euler method. We derive strong a priori estimates for the modeling error and for the approximation error to the solution of the regularized problem.

Full work available at URL: https://arxiv.org/abs/0906.1828

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zbMATH Keywords

finite element methodinitial-boundary value problemspace-time white noisebackward Euler time-steppingfourth-order linear stochastic parabolic equation

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) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cited In (14)

• Stochastic exponential integrator for finite element spatial discretization of stochastic elastic equation
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• A Milstein scheme for SPDEs
• Full-discrete finite element method for the stochastic elastic equation driven by additive noise
• A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
• Weak convergence of finite element method for stochastic elastic equation driven by additive noise
• Crank-Nicolson finite element approximations for a linear stochastic fourth order equation with additive space-time white noise
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• On the convergence of a linearly implicit finite element method for the nonlinear Schrödinger equation
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