Spatial approximation of stochastic convolutions

DOI10.1016/J.CAM.2011.02.010MaRDI QIDQ534239zbMATH OpenOpenAlexWikidataFDO

Authors Mihály Kovács, Fredrik Lindgren, Stig Larsson

Publication date 17 May 2011

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2011.02.010

zbMATH Keywords

Wiener processstochastic heat equationfinite elementstochastic wave equationwaveletadditive noise

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods for wavelets (65T60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cites work

• A concise course on stochastic partial differential equations
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• Stochastic Cahn-Hilliard equation
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• Ten Lectures on Wavelets
• Time-discretised Galerkin approximations of parabolic stochastic PDE's
• Wavelet methods for PDEs -- some recent developments

Cited in

(8)

• Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise
• Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
• Numerical multi-scaling method to solve the linear stochastic partial differential equations
• A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
• A posteriori analysis of finite element discretizations of stochastic partial differential delay equations
• On Convergence rate of Wiener-Ito expansion for generalized random variables
• APPROXIMATION OF THE STOCHASTIC RAYLEIGH–BÉNARD PROBLEM NEAR THE ONSET OF CONVECTION AND RELATED PROBLEMS
• Full-discrete finite element method for the stochastic elastic equation driven by additive noise

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