Stochastic Transport with L\'evy Noise -- Fully Discrete Numerical Approximation

arXiv1910.14657MaRDI QIDQ6328306FDOQ6328306

Publication date: 31 October 2019

Abstract: Semilinear hyperbolic stochastic partial differential equations (SPDEs) find widespread applications in the natural and engineering sciences. However, the traditional Gaussian setting may prove too restrictive, as phenomena in mathematical finance, porous media, and pollution models often exhibit noise of a different nature. To capture temporal discontinuities and accommodate heavy-tailed distributions, Hilbert space-valued L'evy processes or L'evy fields are employed as driving noise terms. The numerical discretization of such SPDEs presents several challenges. The low regularity of the solution in space and time leads to slow convergence rates and instability in space/time discretization schemes. Furthermore, the L'evy process can take values in an infinite-dimensional Hilbert space, necessitating projections onto finite-dimensional subspaces at each discrete time point. Additionally, unbiased sampling from the resulting L'evy field may not be feasible. In this study, we introduce a novel fully discrete approximation scheme that tackles these difficulties. Our main contribution is a discontinuous Galerkin scheme for spatial approximation, derived naturally from the weak formulation of the SPDE. We establish optimal convergence properties for this approach and combine it with a suitable time stepping scheme to prevent numerical oscillations. Furthermore, we approximate the driving noise process using truncated Karhunen-Lo`eve expansions. This approximation yields a sum of scaled and uncorrelated one-dimensional L'evy processes, which can be simulated with controlled bias using Fourier inversion techniques.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Jump processes on general state spaces (60J76)

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