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A Trigonometric Method for the Linear Stochastic Wave Equation

David Cohen ; Stig Larsson (Institutionen för matematiska vetenskaper, matematik) ; Magdalena Sigg
SIAM Journal on Numerical Analysis (0036-1429). Vol. 51 (2013), 1, p. 204-222.
[Artikel, refereegranskad vetenskaplig]

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 discretization and a stochastic trigonometric scheme for the temporal approximation. This explicit time integrator allows for error bounds independent of the space discretization and thus does 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 favorable properties are demonstrated with numerical experiments.

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

Denna post skapades 2013-02-15. Senast ändrad 2014-09-02.
CPL Pubid: 173637


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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)


Numerisk analys

Chalmers infrastruktur