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Full discretization of semilinear stochastic wave equations driven by multiplicative noise
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- Anton, Rikard (author)
- Umeå universitet,Institutionen för matematik och matematisk statistik
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- Cohen, David (author)
- Umeå universitet,Institutionen för matematik och matematisk statistik,Univ Innsbruck, Dept Math, Innsbruck, Austria
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Larsson, Stig (author)
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Wang, Xiaojie (author)
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(creator_code:org_t)
- 2016
- 2016
- English.
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In: SIAM Journal on Numerical Analysis. - 0036-1429 .- 1095-7170. ; 54:2, s. 1093-1119
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- A fully discrete approximation of the semilinear stochastic wave equation driven by multiplicative noise is presented. A standard linear finite element approximation is used in space, and a stochastic trigonometric method is used for the temporal approximation. This explicit time integrator allows for mean-square error bounds independent of the space discretization and thus does not suffer from a step size restriction as in the often used Stormer-Verlet leapfrog scheme. Furthermore, it satisfies an almost trace formula (i.e., a linear drift of the expected value of the energy of the problem). Numerical experiments are presented and confirm the theoretical results.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- semilinear stochastic wave equation
- multiplicative noise
- strong convergence
- trace formula
- stochastic trigonometric methods
- geometric numerical integration
Publication and Content Type
- ref (subject category)
- art (subject category)
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