Simulation of stochastic partial differential equations using finite element methods
Artikel i vetenskaplig tidskrift, 2012

These notes describe numerical issues that may arise when implementing a simulation method for a stochastic partial differential equation (SPDE). It is shown that an additional approximation of the noise does not necessarily affect the order of convergence of a discretization method for a SPDE driven by Lévy noise. Furthermore, finite element methods are explicitly given and simulations are done. In statistical tests, it is shown that the simulations obey the theoretical orders of convergence. © 2012 Copyright Taylor and Francis Group, LLC.

finite element method

stochastic partial differential equation

Galerkin's method

Lévy process

Författare

A. Barth

Stochastics

1744-2508 (ISSN) 1744-2516 (eISSN)

Vol. 84 217-231

Ämneskategorier

Beräkningsmatematik

Sannolikhetsteori och statistik

DOI

10.1080/17442508.2010.523466