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

36 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

More information

10.1007/s00211-019-01028-8

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

Cite this

@article{e2558460e20d421cae4bb42aacd98071,

title = "Convergence of Finite Element Solutions of Stochastic Partial Integro-Differential Equations Driven by White Noise",

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.",

author = "Max Gunzburger and Buyang Li and Jilu Wang",

year = "2019",

month = apr,

day = "3",

doi = "10.1007/s00211-019-01028-8",

language = "English",

volume = "141",

pages = "1043--1077",

journal = "Numerische Mathematik",

issn = "0029-599X",

publisher = "Springer New York",

number = "4",

}

TY - JOUR

T1 - Convergence of Finite Element Solutions of Stochastic Partial Integro-Differential Equations Driven by White Noise

AU - Gunzburger, Max

AU - Li, Buyang

AU - Wang, Jilu

PY - 2019/4/3

Y1 - 2019/4/3

N2 - 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.

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.

UR - https://www.scopus.com/pages/publications/85062983121

U2 - 10.1007/s00211-019-01028-8

DO - 10.1007/s00211-019-01028-8

M3 - Journal article

AN - SCOPUS:85062983121

SN - 0029-599X

VL - 141

SP - 1043

EP - 1077

JO - Numerische Mathematik

JF - Numerische Mathematik

IS - 4

ER -

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

Abstract

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this