Convergence of Finite Element Solutions of Stochastic Partial Integro-Differential Equations Driven by White Noise

Max Gunzburger; Buyang Li; Jilu Wang

doi:10.1007/s00211-019-01028-8

Convergence of Finite Element Solutions of Stochastic Partial Integro-Differential Equations Driven by White Noise

Max Gunzburger, Buyang Li, Jilu Wang

Research output: Journal article publication › Journal article › Academic research › peer-review

18 Citations (Scopus)

Abstract

Numerical approximation of a stochastic partial integro-differential equation driven by a space-time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.

Original language	English
Pages (from-to)	1043-1077
Number of pages	35
Journal	Numerische Mathematik
Volume	141
Issue number	4
DOIs	https://doi.org/10.1007/s00211-019-01028-8
Publication status	Published - 3 Apr 2019

ASJC Scopus subject areas

Computational Mathematics
Applied Mathematics

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10.1007/s00211-019-01028-8

http://hdl.handle.net/10397/98594

Cite this

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abstract = "Numerical approximation of a stochastic partial integro-differential equation driven by a space-time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.",

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AB - Numerical approximation of a stochastic partial integro-differential equation driven by a space-time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.

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Convergence of Finite Element Solutions of Stochastic Partial Integro-Differential Equations Driven by White Noise

Abstract

ASJC Scopus subject areas

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