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

DOI10.1093/IMANUM/DRR059MaRDI QIDQ4920236zbMATH OpenOpenAlexFDO

Authors 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

additive noiseconvergenceexponential integratorsfinite elementHilbert spaceIto equationlinear reaction-diffusion equationmultiplicative noiseparabolic stochastic partial differential equation (SPDE)stochastic advection-diffusion-reaction equationstrong numerical approximationtrace class operatorWiener process

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Abstract parabolic equations (35K90) PDEs with randomness, stochastic partial differential equations (35R60) 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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Abstract: We consider the numerical approximation of a general second order semi--linear parabolic stochastic partial differential equation (SPDEs) driven by space-time noise, for multiplicative and additive noise. We examine convergence of exponential integrators for multiplicative and additive noise. We consider noise that is in trace class and give a convergence proof in the mean square $L^2$ norm. We discretize in space with the finite element method and in our implementation we examine both the finite element and the finite volume methods. We present results for a linear reaction diffusion equation in two dimensions as well as a nonlinear example of two-dimensional stochastic advection diffusion reaction equation motivated from realistic porous media flow.

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• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Magnus exponential integrators for stiff time-varying stochastic systems
• Weak convergence of drift-implicit Euler and spectral Galerkin approximation to stochastic Allen-Cahn equation driven by multiplicative trace-class noise
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