SPDEs driven by additive and multiplicative white noises: A numerical study

Hassan Manouzi

Mathematics and Computers in Simulation (MATCOM), 2011, vol. 81, issue 10, 2234-2243

Abstract: In this paper we present a finite element approximation of a model of a linear stochastic partial differential equation driven by additive and multiplicative white noises. Using the Wick-product properties and the Wiener–Itô chaos expansion, the stochastic variational problem is reformulated as a set of deterministic variational problems. To obtain the chaos coefficients in the corresponding deterministic equations, we use the usual Galerkin finite element method. Once this approximation is performed, the statistics of the numerical solution can be easily evaluated.

Keywords: Pressure equation; Wick calculus; Finite element method; Galerkin method; Stochastic simulation (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:81:y:2011:i:10:p:2234-2243

DOI: 10.1016/j.matcom.2010.12.020

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