Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise

DOI10.1051/M2AN/2022087zbMATH Open1515.60231arXiv2203.09851OpenAlexW4280501545MaRDI QIDQ6041050FDOQ6041050

Authors: Caroline Bauzet, Flore Nabet, Aleksandra Zimmermann 

Publication date: 25 May 2023

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Abstract: We study here the approximation by a finite-volume scheme of a heat equation forced by a Lipschitz continuous multiplicative noise in the sense of It^o. More precisely, we consider a discretization which is semi-implicit in time and a two-point flux approximation scheme (TPFA) in space. We adapt the method based on the theorem of Prokhorov to obtain a convergence in distribution result, then Skorokhod's representation theorem yields the convergence of the scheme towards a martingale solution and the Gy"{o}ngy-Krylov argument is used to prove convergence in probability of the scheme towards the unique variational solution of our parabolic problem.

Full work available at URL: https://arxiv.org/abs/2203.09851

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zbMATH Keywords

convergence analysisstochastic heat equationvariational approachfinite-volume methodstochastic compactness methodmultiplicative Lipschitz noise

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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Cited In (7)

• Finite Volume Approximations for Non-linear Parabolic Problems with Stochastic Forcing
• A class of space-time discretizations for the stochastic \(p\)-Stokes system
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• A fully discrete approximation of the one-dimensional stochastic heat equation
• Convergence of monotone finite volume schemes for hyperbolic scalar conservation laws with multiplicative noise
• Convergence of Chandrashekar's second-derivative finite-volume approximation
• Convergence of a finite-volume scheme for a heat equation with a multiplicative stochastic force

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