Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise

DOI10.1016/j.apnum.2018.10.008zbMath1407.65198OpenAlexW2898840947WikidataQ115586741 ScholiaQ115586741MaRDI QIDQ1633324

Gabriel J. Lord, Antoine Tambue

Publication date: 19 December 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.10.008

zbMATH Keywords

finite element methodparabolic stochastic partial differential equationsadditive noiseexponential integratorshigher-order approximationtransport in porous mediastrong numerical approximation

Mathematics Subject Classification ID

PDEs in connection with fluid mechanics (35Q35) Flows in porous media; filtration; seepage (76S05) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) Semilinear parabolic equations (35K58)

Related Items (3)

Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure ⋮ Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients ⋮ Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme

Uses Software

• Expokit

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