Crank-Nicolson finite element approximations for a linear stochastic fourth order equation with additive space-time white noise

DOI10.1137/15M1053098MaRDI QIDQ4637510zbMATH OpenOpenAlexWikidataFDO

Authors Georgios E. Zouraris

Publication date 24 April 2018

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

Full work available at URL https://arxiv.org/abs/1607.05206

zbMATH Keywords

finite element methodspace-time white noisea priori error estimatesfully discrete approximationsCrank-Nicolson time-steppingfourth order linear parabolic SPDE

Mathematics Subject Classification ID

Higher-order parabolic equations (35K25) PDEs in connection with optics and electromagnetic theory (35Q60) White noise theory (60H40) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) 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) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

Abstract: We consider a model initial- and Dirichlet boundary- value problem for a fourth-order linear stochastic parabolic equation, in one space dimension, forced by an additive space-time white noise. First, we approximate its solution by the solution of an auxiliary fourth-order stochastic parabolic problem with additive, finite dimensional, spectral-type stochastic load. Then, fully-discrete approximations of the solution to the approximate problem are constructed by using, for the discretization in space, a standard Galerkin finite element method based on $H^2$-piecewise polynomials, and, for time-stepping, the Crank-Nicolson method. Analyzing the convergence of the proposed discretization approach, we derive strong error estimates which show that the order of strong convergence of the Crank-Nicolson finite element method is equal to that reported in [Kosioris and Zouraris MMAN 44 (2010)] for the Backward Euler finite element method.

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Cited in

(4)

• Numerical approximation of the stochastic equation driven by the fractional noise
• Fully-discrete finite element approximations for a fourth-order linear stochastic parabolic equation with additive space-time white noise
• Finite element approximations for a linear fourth-order parabolic SPDE in two and three space dimensions with additive space-time white noise
• Control of diffusion-driven pattern formation behind a wave of competency

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