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
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