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A trigonometric method for the linear stochastic wave equation

David Cohen ; Stig Larsson (Institutionen för matematiska vetenskaper, matematik) ; Magdalena Sigg
arXiv p. antal sidor: 18. (2012)
[Preprint]

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.

Nyckelord: Stochastic wave equation, Additive noise, Strong convergence, Trace formula, Stochastic trigonometric schemes, Geometric numerical integration


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Denna post skapades 2012-03-19. Senast ändrad 2014-09-02.
CPL Pubid: 156009

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)

Ämnesområden

Numerisk analys

Chalmers infrastruktur