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Numerical approximation of some linear stochastic partial differential equations driven by special additive noises

Authors Du, Q. HKUST affiliated (currently or previously)
Zhang, TY
Issue Date 2002
Source SIAM journal on numerical analysis , v. 40, (4), 2002, OCT 24, p. 1421-1445
Summary This paper is concerned with the numerical approximation of some linear stochastic partial differential equations with additive noises. A special representation of the noise is considered, and it is compared with general representations of noises in the infinite dimensional setting. Convergence analysis and error estimates are presented for the numerical solution based on the standard finite difference and finite element methods. The effects of the noises on the accuracy of the approximations are illustrated. Results of the numerical experiments are provided.
ISSN 0036-1429
Rights Copyright © SIAM. This paper is made available with permission of the Society for Industrial and Applied Mathematics for limited noncommerical distribution only.
Language English
Format Article
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