SPDEs driven by additive and multiplicative white noises: a numerical study

DOI10.1016/j.matcom.2010.12.020zbMath1230.65010OpenAlexW2036340366MaRDI QIDQ554564

Hassan Manouzi

Publication date: 4 August 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.12.020

zbMATH Keywords

Galerkin methodfinite element methodstochastic simulationpressure equationWick calculusWiener-Itô chaos expansionadditive and multiplicative white noiseslinear stochastic partial differential equationstochastic variational problemWick-product

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• The pressure equation for fluid flow in a stochastic medium
• Stabilisation of linear PDEs by Stratonovich noise
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• On stabilization of partial differential equations by noise
• EXPANSION THEOREMS FOR GENERALIZED RANDOM PROCESSES, WICK PRODUCTS AND APPLICATIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS
• Convergence rates for finite elementapproximations of stochastic partial differential equations
• A finite element approximation of linear stochastic PDEs driven by multiplicative white noise

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