Finite element approximation of parabolic SPDEs with Whittle–Matérn noise

Preprint, 2025

We propose and analyse a new type of fully discrete finite element approximation of a class of linear stochastic parabolic evolution equations with additive noise. Our discretization differs from previous ones in that we use a finite element approximation of the noise, as opposed to an L^2 projection. This approximation is tailored for equations where the noise has covariance operator defined in terms of (negative powers of) elliptic operators, like Whittle--Matérn random fields. Strong convergence rates up to order 2 in space and 1 in time are shown and verified by numerical experiments in dimension 1 and 2.