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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)

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

arXiv is an e-print service in the fields of physics, mathematics, non-linear science, computer science, quantitative biology, quantitative finance and statistics. Submissions to arXiv must conform to Cornell University academic standards. arXiv is owned and operated by Cornell University, a private not-for-profit educational institution. arXiv is funded by Cornell University Library and by supporting user institutions. The National Science Foundation funds research and development by Cornell Information Science.

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)


Numerisk analys

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