Numerical Solution of Stochastic Partial Differential Equations with Correlated Noise
- The aim of this paper is to investigate the numerical solution of stochastic partial differential equations (SPDEs) for a wider class of stochastic equations with colored noise instead of the usual space-time white noise. By applying Galerkin method for spatial discretization we obtain the rate of path-wise convergence in the uniform topology. Numerical examples illustrate the theoretically predicted convergence rate.
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| Author: | Minoo Kamrani, Dirk BlömkerORCiDGND |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-22965 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/2296 |
| Series (Serial Number): | Preprints des Instituts für Mathematik der Universität Augsburg (2013-05) |
| Type: | Preprint |
| Language: | English |
| Date of Publication (online): | 2013/04/05 |
| Year of first Publication: | 2013 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2013/04/05 |
| Tag: | Numerik partieller Differentialgleichungen; Spektralgalerkin colored noise; order of convergence; spectral Galerkin approximation; stochastic partial differential equations; time discretization; uniform bounds |
| GND-Keyword: | Stochastische nichtlineare Differentialgleichung; Stochastische Analysis; Farbiges Rauschen; Stochastische partielle Differentialgleichung; Galerkin-Methode |
| Institutes: | Mathematisch-Naturwissenschaftlich-Technische Fakultät |
| Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik | |
| Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik / Lehrstuhl für Nichtlineare Analysis | |
| Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| Licence (German): |  Deutsches Urheberrecht mit Print on Demand |
