Difference Approximation of Stochastic Elastic Equation Driven by Infinite Dimensional Noise. Issue 1 (15th February 2016)

• Record Type: Journal Article
• Authors: Zhang, Yinghan; Yang, Xiaoyuan; Qi, Ruisheng
• Is Part Of: Numerical mathematics. Volume 9:Issue 1(2016)
• Page Start: 123
• Page End: 146
• Publication Date: 2016-02-15
• Subjects: 60H15, -- 65M06; Stochastic partial differential equations, -- difference scheme, -- stochastic elastic equation, -- infinite dimensional noise, -- rate of convergence; Numerical analysis -- Periodicals; Numerical analysis; Periodicals; 518.05
• DOI: 10.4208/nmtma.2015.y14002
• Languages: English
• ISSNs: 1004-8979

Abstract

Abstract: An explicit difference scheme is described, analyzed and tested for numerically approximating stochastic elastic equation driven by infinite dimensional noise. The noise processes are approximated by piecewise constant random processes and the integral formula of the stochastic elastic equation is approximated by a truncated series. Error analysis of the numerical method yields estimate of convergence rate. The rate of convergence is demonstrated with numerical experiments.