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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