Change search
ReferencesLink to record
Permanent link

Direct link
A trigonometric method for the linear stochastic wave equation
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
Department of Mathematical Sciences, Chalmers University of Technology and University of Gothenburg.
Mathematisches Institut, Universität Basel.
2013 (English)In: SIAM Journal on Numerical Analysis, ISSN 0036-1429, E-ISSN 1095-7170, Vol. 51, no 1, 204-222 p.Article in journal (Refereed) Published
Abstract [en]

A fully discrete approximation of the linear stochastic wave equation driven by additive noise is presented. A standard finite element method is used for the spatial discretization and a stochastic trigonometric scheme for the temporal approximation. This explicit time integrator allows for error bounds independent of the space discretization and thus does not have a step-size restriction as in the often used Störmer--Verlet-leap-frog scheme. Moreover, it enjoys a trace formula as does the exact solution of our problem. These favorable properties are demonstrated with numerical experiments. Read More:

Place, publisher, year, edition, pages
2013. Vol. 51, no 1, 204-222 p.
Keyword [en]
Stochastic wave equation, Additive noise, Strong convergence, Trace formula, Stochastic trigonometric schemes, Geometric numerical integration
National Category
Computational Mathematics
Research subject
URN: urn:nbn:se:umu:diva-61527OAI: diva2:570391
Available from: 2012-11-19 Created: 2012-11-19 Last updated: 2013-04-11Bibliographically approved

Open Access in DiVA

No full text

Search in DiVA

By author/editor
Cohen, David
By organisation
Department of Mathematics and Mathematical Statistics
In the same journal
SIAM Journal on Numerical Analysis
Computational Mathematics

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 93 hits
ReferencesLink to record
Permanent link

Direct link