Numerical approximation of some linear stochastic partial differential equations driven by special additive noises

被引:113
作者
Du, Q [1 ]
Zhang, TY
机构
[1] Penn State Univ, Dept Math, University Pk, PA 16802 USA
[2] Hong Kong Univ Sci & Technol, Dept Math, Hong Kong, Hong Kong, Peoples R China
关键词
stochastic partial differential equation; additive noise; finite difference method; finite element method; convergence; error estimate;
D O I
10.1137/S0036142901387956
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
This paper is concerned with the numerical approximation of some linear stochastic partial differential equations with additive noises. A special representation of the noise is considered, and it is compared with general representations of noises in the infinite dimensional setting. Convergence analysis and error estimates are presented for the numerical solution based on the standard finite difference and finite element methods. The effects of the noises on the accuracy of the approximations are illustrated. Results of the numerical experiments are provided.
引用
收藏
页码:1421 / 1445
页数:25
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