A lattice scheme for stochastic partial differential equations of elliptic type in dimension d 4

DOI10.1007/S00245-006-0874-1MaRDI QIDQ861502zbMATH OpenOpenAlexFDO

Authors Teresa Martínez, Marta Sanz-Solé

Publication date 29 January 2007

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0508339

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: We study a stochastic boundary value problem on $(0,1{)}^d$ of elliptic type in dimension $dge4$, driven by a coloured noise. An approximation scheme based on a suitable discretization of the Laplacian on a lattice of $(0,1{)}^d$ is presented; we also give the rate of convergence to the original SPDE in $L^p(Omega;L^2(D))$--norm, for some values of $p$.

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Cited in

(11)

• Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition
• On numerical solution of stochastic partial differential equations of elliptic type
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• Lattice approximations of semilinear stochastic elliptic equations with reflection
• The numerical approximation of stochastic partial differential equations
• A stochastic fractional Laplace equation driven by colored noise on bounded domain, and its covariance functional
• Strong and weak convergence order of finite element methods for stochastic PDEs with spatial white noise
• Finite element method and discontinuous Galerkin method for stochastic scattering problem of Helmholtz type in \(\mathbb R^{d} (d =2, 3)\)
• Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise
• Numerical approximation for stochastic nonlinear fractional diffusion equation driven by rough noise
• Pathwise definition of second-order SDEs

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