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2006.3: Post processing for stochastic parabolic partial differential equations

2006.3: Gabriel Lord and Tony Shardlow (2006) Post processing for stochastic parabolic partial differential equations.

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Abstract

We investigate the strong approximation of stochastic parabolic partial differential equations with additive noise. We introduce post-processing in the context of a standard Galerkin approximation, although other spatial discretisations are possible. In time, we use an exponential integrator. We prove strong error estimates and discuss the best number of post-processing terms to take. Numerically, we evaluate the efficiency of the methods and observe rates of convergence. Some experiments with the implicit Euler--Maruyama method are described

Item Type:MIMS Preprint
Subjects:MSC 2000 > 35 Partial differential equations
MSC 2000 > 60 Probability theory and stochastic processes
MSC 2000 > 65 Numerical analysis
MIMS number:2006.3
Deposited By:Tony Shardlow
Deposited On:05 January 2006

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