Approximation of stochastic partial differential equations by a kernel-based collocation method
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Publication:4902864
Gaussian processimplicit Euler schemekernel-based collocationMatérn functionreproducing kernelstochastic partial differential equation
PDEs with randomness, stochastic partial differential equations (35R60) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Gaussian processes (60G15) 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Abstract: In this paper we present the theoretical framework needed to justify the use of a kernel-based collocation method (meshfree approximation method) to estimate the solution of high-dimensional stochastic partial differential equations (SPDEs). Using an implicit time stepping scheme, we transform stochastic parabolic equations into stochastic elliptic equations. Our main attention is concentrated on the numerical solution of the elliptic equations at each time step. The estimator of the solution of the elliptic equations is given as a linear combination of reproducing kernels derived from the differential and boundary operators of the SPDE centered at collocation points to be chosen by the user. The random expansion coefficients are computed by solving a random system of linear equations. Numerical experiments demonstrate the feasibility of the method.
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Cites work
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Cited in
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