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

DOI10.1093/IMANUM/DRR059zbMATH Open1272.65010arXiv1103.1986OpenAlexW2963397245MaRDI QIDQ4920236FDOQ4920236

Gabriel J. Lord, Antoine Tambue

Publication date: 16 May 2013

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

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.

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

zbMATH Keywords

convergenceWiener processHilbert spacemultiplicative noisefinite elementtrace class operatorexponential integratorsadditive noiseIto equationlinear reaction-diffusion equationstrong numerical approximationparabolic stochastic partial differential equation (SPDE)stochastic advection-diffusion-reaction equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Initial value problems for second-order parabolic equations (35K15) Abstract parabolic equations (35K90) 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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Cited In (56)

• Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
• Resolvents of the Ito differential equations multiplicative with respect to the state vector
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a \(\mathcal{C}^2\) boundary
• Approximated exponential integrators for the stochastic Manakov equation
• Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients
• Stochastic exponential integrator for finite element spatial discretization of stochastic elastic equation
• An exponential integrator for finite volume discretization of a reaction-advection-diffusion equation
• Convergence of an Operator Splitting Scheme for Abstract Stochastic Evolution Equations
• Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
• Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise
• A note on exponential Rosenbrock-Euler method for the finite element discretization of a semilinear parabolic partial differential equation
• BAMPHI: matrix-free and transpose-free action of linear combinations of \(\varphi\)-functions from exponential integrators
• Mittag--Leffler Euler Integrator for a Stochastic Fractional Order Equation with Additive Noise
• Spectral Element Methods for Stochastic Differential Equations with Additive Noise
• Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations
• Full discretization of semilinear stochastic wave equations driven by multiplicative noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
• Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure
• Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients
• Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
• A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
• Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• Efficient computation of phi-functions in exponential integrators
• Exponential discrete gradient schemes for a class of stochastic differential equations
• On the mild Itô formula in Banach spaces
• Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Strong convergence of a fractional exponential integrator scheme for finite element discretization of time-fractional SPDE driven by fractional and standard Brownian motions
• Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise
• An Exponential Wagner--Platen Type Scheme for SPDEs
• A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise
• Simulation of SPDEs for excitable media using finite elements
• Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• Numerical solution of time-dependent stochastic partial differential equations using RBF partition of unity collocation method based on finite difference
• Strong convergence analysis of the stochastic exponential Rosenbrock scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• On the convergence rate of the splitting-up scheme for rough partial differential equations
• An accelerated exponential time integrator for semi-linear stochastic strongly damped wave equation with additive noise
• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• A note on an accelerated exponential Euler method for parabolic SPDEs with additive noise
• An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition
• Online Multiscale Model Reduction for Nonlinear Stochastic PDEs with Multiplicative Noise
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Magnus-type integrator for non-autonomous SPDEs driven by multiplicative noise
• Exponential integrators for nonlinear Schrödinger equations with white noise dispersion
• A mild Itô formula for SPDEs
• Exponential integrators for stochastic Maxwell's equations driven by Itô noise
• A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations
• Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
• Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations
• Exponential time integrators for stochastic partial differential equations in 3D reservoir simulation
• Error estimates of finite element methods for fractional stochastic Navier-Stokes equations

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