SPDEs driven by additive and multiplicative white noises: a numerical study

DOI10.1016/J.MATCOM.2010.12.020MaRDI QIDQ554564zbMATH OpenOpenAlexFDO

Authors Hassan Manouzi

Publication date 4 August 2011

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2010.12.020

zbMATH Keywords

finite element methodGalerkin methodstochastic simulationWick calculusadditive and multiplicative white noiseslinear stochastic partial differential equationpressure equationstochastic variational problemWick-productWiener-Itô chaos expansion

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) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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Cites work

• scientific article; zbMATH DE number 1186466 (Why is no real title available?)
• scientific article; zbMATH DE number 850222 (Why is no real title available?)
• scientific article; zbMATH DE number 936525 (Why is no real title available?)
• A finite element approximation of linear stochastic PDEs driven by multiplicative white noise
• Convergence rates for finite elementapproximations of stochastic partial differential equations
• EXPANSION THEOREMS FOR GENERALIZED RANDOM PROCESSES, WICK PRODUCTS AND APPLICATIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS
• On stabilization of partial differential equations by noise
• Solving wick-stochastic boundary value problems using a finite element method
• Stabilisation of linear PDEs by Stratonovich noise
• The pressure equation for fluid flow in a stochastic medium

Cited in

(8)

• Wick-stochastic finite element solution of reaction-diffusion problems
• Wiener expansion-spectral methods for stochastic partial differential equations with white noise
• Solving SPDEs driven by colored noise: A chaos approach
• Simulation of SPDEs for excitable media using finite elements
• Numerical solutions of stochastic PDEs driven by arbitrary type of noise
• Randomization of forcing in large systems of PDEs for improvement of energy estimates
• A finite element approximation of linear stochastic PDEs driven by multiplicative white noise
• Numerical Approximation of Some Linear Stochastic Partial Differential Equations Driven by Special Additive Noises

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