Numerical methods for stochastic partial differential equations with multiple scales

DOI10.1016/J.JCP.2011.11.039zbMATH Open1429.65013arXiv1105.4375OpenAlexW2098645609MaRDI QIDQ419602FDOQ419602

Authors: Assyr Abdulle, G. A. Pavliotis 

Publication date: 18 May 2012

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

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.

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

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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)

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Cited In (22)

• Multi-Modes Multiscale Approach of Heat Transfer Problems in Heterogeneous Solids with Uncertain Thermal Conductivity
• Analysis of multiscale methods for stochastic dynamical systems driven by \(\alpha\)-stable processes
• Spectral Methods for Multiscale Stochastic Differential Equations
• Explicit Stabilized Multirate Method for Stiff Stochastic Differential Equations
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• Numerical techniques for multi-scale dynamical systems with stochastic effects
• Title not available (Why is that?)
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• A numerical scheme for stochastic PDEs with Gevrey regularity
• Multiscale Integration Schemes for Jump-Diffusion Systems
• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• Analysis of multiscale methods for stochastic differential equations
• Numerical study of the reaction diffusion prey-predator model having Holling II increasing function in the predator under noisy environment
• Analysis of multiscale methods for stochastic dynamical systems with multiple time scales
• A multiscale method with patch for the solution of stochastic partial differential equations with localized uncertainties
• Numerical solutions of stochastic Fisher equation to study migration and population behavior in biological invasion
• Homogenization of nonlinear hyperbolic stochastic partial differential equations with nonlinear damping and forcing
• Numerical Methods for Stochastic Simulation: When Stochastic Integration Meets Geometric Numerical Integration
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• Explicit stabilized multirate method for stiff differential equations
• A robust multiquadric method for digital elevation model construction
• Numerical study of amplitude equations for SPDEs with degenerate forcing

Uses Software

• RODAS
• S-ROCK

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