Convergence of a Finite-Volume Scheme for a Heat Equation with a Multiplicative Stochastic Force

DOI10.1007/978-3-030-43651-3_24zbMath1454.65070OpenAlexW4287757428MaRDI QIDQ5117447

Flore Nabet, Caroline Bauzet

Publication date: 25 August 2020

Published in: Finite Volumes for Complex Applications IX - Methods, Theoretical Aspects, Examples (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-43651-3_24

zbMATH Keywords

finite volume methodItô integralstochastic heat equationItô formulamultiplicative noisepredictable process

Mathematics Subject Classification ID

Heat equation (35K05) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (1)

Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise

Cites Work

• Unnamed Item
• Convergence of monotone finite volume schemes for hyperbolic scalar conservation laws with multiplicative noise
• A density result in Sobolev spaces.
• Convergence of a finite volume scheme for nonlinear degenerate parabolic equations
• Discrete duality finite volume schemes for Leray−Lions−type elliptic problems on general 2D meshes
• Stochastic Equations in Infinite Dimensions

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