A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a C^2 boundary

DOI10.3934/DCDSB.2023148MaRDI QIDQ6201365zbMATH OpenOpenAlexFDO

Authors Julian Clausnitzer, Andreas Kleefeld

Publication date 20 February 2024

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2306.13480

zbMATH Keywords

boundary integral equationsexponential Euler schemenonlinear eigenvalue problemsparabolic SPDEs

Mathematics Subject Classification ID

Nonlinear eigenvalue problems and nonlinear spectral theory for PDEs (35P30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38)

Abstract: We consider the numerical approximation of second-order semi-linear parabolic stochastic partial differential equations interpreted in the mild sense which we solve on general two-dimensional domains with a $mathcal{C}^2$ boundary with homogeneous Dirichlet boundary conditions. The equations are driven by Gaussian additive noise, and several Lipschitz-like conditions are imposed on the nonlinear function. We discretize in space with a spectral Galerkin method and in time using an explicit Euler-like scheme. For irregular shapes, the necessary Dirichlet eigenvalues and eigenfunctions are obtained from a boundary integral equation method. This yields a nonlinear eigenvalue problem, which is discretized using a boundary element collocation method and is solved with the Beyn contour integral algorithm. We present an error analysis as well as numerical results on an exemplary asymmetric shape, and point out limitations of the approach.

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