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.

Download full text files

Export metadata


Number of document requests

Additional Services

Share in Twitter Search Google Scholar
Author:Minoo Kamrani, Dirk BlömkerGND
Frontdoor URL
Series (Serial Number):Preprints des Instituts für Mathematik der Universität Augsburg (2013-05)
Year of first Publication:2013
Publishing Institution:Universität Augsburg
Release Date:2013/04/05
Tag:Spektralgalerkin; Numerik partieller Differentialgleichungen
stochastic partial differential equations; colored noise; spectral Galerkin approximation; time discretization; order of convergence; 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