Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise

DOI10.1093/imanum/drr059zbMath1272.65010arXiv1103.1986OpenAlexW2963397245MaRDI QIDQ4920236

Antoine Tambue, Gabriel J. Lord

Publication date: 16 May 2013

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.1986

zbMATH Keywords

convergenceWiener processHilbert spacefinite elementmultiplicative noiseadditive noisetrace class operatorexponential integratorsIto equationlinear reaction-diffusion equationstrong numerical approximationparabolic stochastic partial differential equation (SPDE)stochastic advection-diffusion-reaction equation

Mathematics Subject Classification ID

Abstract parabolic equations (35K90) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) 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) Initial value problems for second-order parabolic equations (35K15)

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