Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs

DOI10.1090/MCOM/3524zbMATH Open1447.65081arXiv1611.02164OpenAlexW2797927110WikidataQ114094321 ScholiaQ114094321MaRDI QIDQ5118854FDOQ5118854

Authors: Kristin Kirchner 

Publication date: 27 August 2020

Published in: Mathematics of Computation (Search for Journal in Brave)

Abstract: Numerical methods for stochastic partial differential equations typically estimate moments of the solution from sampled paths. Instead, we shall directly target the deterministic equations satisfied by the first and second moments, as well as the covariance. In the first part, we focus on stochastic ordinary differential equations. For the canonical examples with additive noise (Ornstein-Uhlenbeck process) or multiplicative noise (geometric Brownian motion) we derive these deterministic equations in variational form and discuss their well-posedness in detail. Notably, the second moment equation in the multiplicative case is naturally posed on projective-injective tensor product spaces as trial-test spaces. We construct Petrov-Galerkin discretizations based on tensor product piecewise polynomials and analyze their stability and convergence in these natural norms. In the second part, we proceed with parabolic stochastic partial differential equations with affine multiplicative noise. We prove well-posedness of the deterministic variational problem for the second moment, improving an earlier result. We then propose conforming space-time Petrov-Galerkin discretizations, which we show to be stable and quasi-optimal. In both parts, the outcomes are illustrated by numerical examples.

Full work available at URL: https://arxiv.org/abs/1611.02164

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zbMATH Keywords

momentsvariational problemcovarianceconvergencestabilitystochastic differential equationsPetrov-Galerkin methodtensor product spaces

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) 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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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