Subordinated Gaussian random fields in elliptic partial differential equations
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circulant embeddingdiscontinuous random fieldsfinite element methodsLévy fieldsstochastic partial differential equationssubordination
Inverse problems for PDEs (35R30) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: To model subsurface flow in uncertain heterogeneous fractured media an elliptic equation with a discontinuous stochastic diffusion coefficient - also called random field - may be used. In case of a one-dimensional parameter space, L'evy processes allow for jumps and display great flexibility in the distributions used. However, in various situations (e.g. microstructure modeling), a one-dimensional parameter space is not sufficient. Classical extensions of L'evy processes on two parameter dimensions suffer from the fact that they do not allow for spatial discontinuities. In this paper a new subordination approach is employed to generate L'evy-type discontinuous random fields on a two-dimensional spatial parameter domain. Existence and uniqueness of a (pathwise) solution to a general elliptic partial differential equation is proved and an approximation theory for the diffusion coefficient and the corresponding solution provided. Further, numerical examples using a Monte Carlo approach on a Finite Element discretization validate our theoretical results.
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Cited in
(4)- Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
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