Full discretization of the stochastic Burgers equation with correlated noise (Q2841056)
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scientific article; zbMATH DE number 6190565
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Full discretization of the stochastic Burgers equation with correlated noise |
scientific article; zbMATH DE number 6190565 |
Statements
Full discretization of the stochastic Burgers equation with correlated noise (English)
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24 July 2013
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stochastic partial differential equations
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colored noise
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Galerkin approximation
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stochastic Burgers equation
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Wiener process
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spectral Galerkin method
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convergence
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numerical examples
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The discretization simulation of stochastic partial differential equations, especially the Burgers equation with time-space colored cylindrical Wiener process, is studied. The spectral Galerkin method for spatial discretization and the approach of \textit{A. Jentzen, P. Kloeden} and \textit{G. Winkel} [Ann. Appl. Probab. 21, No. 3, 908--950 (2011; Zbl 1223.60050)] for temporal discretization are applied. The convergence rate is obtained. Numerical examples are provided.
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