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A trigonometric met...
A trigonometric method for the linear stochastic wave equation
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Cohen, David (författare)
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- Larsson, Stig, 1952 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematik,Department of Mathematical Sciences, Mathematics,Chalmers tekniska högskola,Chalmers University of Technology,University of Gothenburg
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Sigg, Magdalena (författare)
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(creator_code:org_t)
- 2012
- Engelska.
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Ingår i: arXiv.
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Abstract
Ämnesord
Stäng
- A fully discrete approximation of the linear stochastic wave equation driven by additive noise is presented. A standard finite element method is used for the spatial discretisation and a stochastic trigonometric scheme for the temporal approximation. This explicit time integrator allows for error bounds independent of the space discretisation and thus do not have a step size restriction as in the often used Störmer-Verlet-leap-frog scheme. Moreover it enjoys a trace formula as does the exact solution of our problem. These favourable properties are demonstrated with numerical experiments.
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
Nyckelord
- Stochastic wave equation
- Additive noise
- Strong convergence
- Trace formula
- Stochastic trigonometric schemes
- Geometric numerical integration
- Additive noise
Publikations- och innehållstyp
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