Efficient simulation of nonlinear parabolic SPDEs with additive noise

DOI10.1214/10-AAP711zbMATH Open1223.60050arXiv1210.8320OpenAlexW3104557142MaRDI QIDQ549862FDOQ549862

Peter E. Kloeden, Georg Winkel, Arnulf Jentzen

Publication date: 19 July 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Recently, in a paper by Jentzen and Kloeden [Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 465 (2009) 649-667], a new method for simulating nearly linear stochastic partial differential equations (SPDEs) with additive noise has been introduced. The key idea was to use suitable linear functionals of the noise process in the numerical scheme which allow a higher approximation order to be obtained. Following this approach, a new simplified version of the scheme in the above named reference is proposed and analyzed in this article. The main advantage of the convergence result given here is the higher convergence order for nonlinear parabolic SPDEs with additive noise, although the used numerical scheme is very simple to simulate and implement.

Full work available at URL: https://arxiv.org/abs/1210.8320

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zbMATH Keywords

convergencecomputational coststochastic reaction diffusion equationsexponential Euler schemelinear implicit Euler scheme

Mathematics Subject Classification ID

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)

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Cited In (37)

• Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
• Higher order pathwise approximation for the stochastic Burgers' equation with additive noise
• A simplified Milstein scheme for SPDEs with multiplicative noise
• High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise
• Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise
• Mittag--Leffler Euler Integrator for a Stochastic Fractional Order Equation with Additive Noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise
• 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
• Numerical schemes for rough parabolic equations
• Numerical solution of the Burgers equation with Neumann boundary noise
• An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation
• Convergence of a numerical scheme for SPDEs with correlated noise and global Lipschitz coefficients
• Convergence analysis of a simplified scheme for stochastic Burgers' equation with additive noise
• 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
• Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise
• A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a \(\mathcal{C}^2\) boundary
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• Strong convergence analysis of the stochastic exponential Rosenbrock scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• Numerical solution of stochastic fractional differential equations
• An accelerated exponential time integrator for semi-linear stochastic strongly damped wave equation with additive noise
• Numerically computable a posteriori-bounds for the stochastic Allen-Cahn Equation
• 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
• Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity
• Magnus-type integrator for non-autonomous SPDEs driven by multiplicative noise
• Stability and convergence analysis of a fully discrete semi-implicit scheme for stochastic Allen-Cahn equations with multiplicative noise
• A mild Itô formula for SPDEs
• Numerical analysis for stochastic partial differential delay equations with jumps
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• Numerical study of amplitude equations for SPDEs with degenerate forcing
• Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise

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