Convergence of finite element solutions of stochastic partial integro-differential equations driven by white noise

Max Gunzburger; Buyang Li; Jilu Wang

doi:10.1007/s00211-019-01028-8

Convergence of finite element solutions of stochastic partial integro-differential equations driven by white noise

Max Gunzburger
, Buyang Li
, Jilu Wang^*

^*Corresponding author for this work

Florida State University
Hong Kong Polytechnic University
Mississippi State University

Research output: Contribution to journal › Article › peer-review

37 Scopus citations

Abstract

Numerical approximation of a stochastic partial integro-differential equation driven by a space-time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.

Original language	English
Pages (from-to)	1043-1077
Number of pages	35
Journal	Numerische Mathematik
Volume	141
Issue number	4
DOIs	https://doi.org/10.1007/s00211-019-01028-8
State	Published - 3 Apr 2019
Externally published	Yes

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10.1007/s00211-019-01028-8

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title = "Convergence of finite element solutions of stochastic partial integro-differential equations driven by white noise",

abstract = "Numerical approximation of a stochastic partial integro-differential equation driven by a space-time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.",

author = "Max Gunzburger and Buyang Li and Jilu Wang",

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AU - Li, Buyang

AU - Wang, Jilu

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Y1 - 2019/4/3

N2 - Numerical approximation of a stochastic partial integro-differential equation driven by a space-time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.

AB - Numerical approximation of a stochastic partial integro-differential equation driven by a space-time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.

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U2 - 10.1007/s00211-019-01028-8

DO - 10.1007/s00211-019-01028-8

M3 - 文章

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JF - Numerische Mathematik

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Convergence of finite element solutions of stochastic partial integro-differential equations driven by white noise

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