Full discretization of stochastic burgers equation with correlated noise
- The main purpose of this paper is to investigate the spectral Galerkin method for spatial discretization. We combine it with the method introduced by Kloeden, Jentzen & Winkel for temporal discretization of stochastic partial differential equations and study pathwise convergence. We consider the case of colored noise, instead of the usual space-time white noise that was used before for the spatial discretization. The rate of convergence in uniform topology is estimated for the stochastic Burgers equation. Numerical examples illustrate the estimated convergence rate.
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| Author: | Dirk BlömkerORCiDGND, Minoo Kamrani, Seyed Mohammad Hosseini |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-12780 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/1820 |
| Series (Serial Number): | Preprints des Instituts für Mathematik der Universität Augsburg (2012-04) |
| Type: | Preprint |
| Language: | English |
| Year of first Publication: | 2012 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2012/03/29 |
| Tag: | stochastische Konvolution; Diskretisierung stochastic Burgers equation; colored noise |
| GND-Keyword: | Burgers-Gleichung; Stochastische partielle Differentialgleichung; Stochastische parabolische Differentialgleichung; Galerkin-Methode; Farbiges Rauschen |
| Note: | Erschienen in IMA Journal of Numerical Analysis, 33, 3, S. 825-848, https://doi.org/10.1093/imanum/drs035 |
| Institutes: | Mathematisch-Naturwissenschaftlich-Technische Fakultät |
| Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik | |
| Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| Licence (German): |  Deutsches Urheberrecht mit Print on Demand |
