umu.sePublications
Change search
ReferencesLink to record
Permanent link

Direct link
Full discretization of semilinear stochastic wave equations driven by multiplicative noise
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics. Univ Innsbruck, Dept Math, Innsbruck, Austria.
2016 (English)In: SIAM Journal on Numerical Analysis, ISSN 0036-1429, E-ISSN 1095-7170, Vol. 54, no 2, 1093-1119 p.Article in journal (Refereed) PublishedText
Abstract [en]

A fully discrete approximation of the semilinear stochastic wave equation driven by multiplicative noise is presented. A standard linear finite element approximation is used in space, and a stochastic trigonometric method is used for the temporal approximation. This explicit time integrator allows for mean-square error bounds independent of the space discretization and thus does not suffer from a step size restriction as in the often used Stormer-Verlet leapfrog scheme. Furthermore, it satisfies an almost trace formula (i.e., a linear drift of the expected value of the energy of the problem). Numerical experiments are presented and confirm the theoretical results.

Place, publisher, year, edition, pages
2016. Vol. 54, no 2, 1093-1119 p.
Keyword [en]
semilinear stochastic wave equation, multiplicative noise, strong convergence, trace formula, stochastic trigonometric methods, geometric numerical integration
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-121620DOI: 10.1137/15M101049XISI: 000375488100024OAI: oai:DiVA.org:umu-121620DiVA: diva2:940138
Available from: 2016-06-20 Created: 2016-06-03 Last updated: 2016-06-20Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Anton, RikardCohen, David
By organisation
Department of Mathematics and Mathematical Statistics
In the same journal
SIAM Journal on Numerical Analysis
Probability Theory and Statistics

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

Altmetric score

Total: 46 hits
ReferencesLink to record
Permanent link

Direct link