Numerical methods for stochastic partial differential equations with multiple scales

DOI10.1016/J.JCP.2011.11.039MaRDI QIDQ419602zbMATHOpenAlexFDO

Authors Assyr Abdulle, G. A. Pavliotis

Publication date 18 May 2012

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.4375

zbMATH Keywords

stochastic partial differential equationsaveraginghomogenizationmultiscale methodsheterogeneous multiscale method (HMM)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: A new method for solving numerically stochastic partial differential equations (SPDEs) with multiple scales is presented. The method combines a spectral method with the heterogeneous multiscale method (HMM) presented in [W. E, D. Liu, and E. Vanden-Eijnden, Comm. Pure Appl. Math., 58(11):1544--1585, 2005]. The class of problems that we consider are SPDEs with quadratic nonlinearities that were studied in [D. Blomker, M. Hairer, and G.A. Pavliotis, Nonlinearity, 20(7):1721--1744, 2007.] For such SPDEs an amplitude equation which describes the effective dynamics at long time scales can be rigorously derived for both advective and diffusive time scales. Our method, based on micro and macro solvers, allows to capture numerically the amplitude equation accurately at a cost independent of the small scales in the problem. Numerical experiments illustrate the behavior of the proposed method.

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Cited in

(23)

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Describes a project that uses

Uses Software

• RODAS
• S-ROCK

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