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Register a new userConvergence of finite element solutions of stochastic partial integro-differential equations driven by white noise
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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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For semilinear stochastic evolution equations whose coefficients are more general than the classical global Lipschitz, we present results on the strong convergence rates of numerical discretizations. The proof of them provides a new approach to strong convergence analysis of numerical discretizations for a large family of second order parabolic stochastic partial differential equations driven by space-time white noises. We apply these results to the stochastic advection-diffusion-reaction equation with a gradient term and multiplicative white noise, and show that the strong convergence rate of a fully discrete scheme constructed by spectral Galerkin approximation and explicit exponential integrator is exactly $frac12$ in space and $frac14$ in time. Compared with the optimal regularity of the mild solution, it indicates that the spetral Galerkin approximation is superconvergent and the convergence rate of the exponential integrator is optimal. Numerical experiments support our theoretical analysis.
We establish a general theory of optimal strong error estimation for numerical approximations of a second-order parabolic stochastic partial differential equation with monotone drift driven by a multiplicative infinite-dimensional Wiener process. The equation is spatially discretized by Galerkin methods and temporally discretized by drift-implicit Euler and Milstein schemes. By the monotone and Lyapunov assumptions, we use both the variational and semigroup approaches to derive a spatial Sobolev regularity under the $L_omega^p L_t^infty dot H^{1+gamma}$-norm and a temporal Holder regularity under the $L_omega^p L_x^2$-norm for the solution of the proposed equation with an $dot H^{1+gamma}$-valued initial datum for $gammain [0,1]$. Then we make full use of the monotonicity of the equation and tools from stochastic calculus to derive the sharp strong convergence rates $O(h^{1+gamma}+tau^{1/2})$ and $O(h^{1+gamma}+tau^{(1+gamma)/2})$ for the Galerkin-based Euler and Milstein schemes, respectively.
This paper deals with linear stochastic partial differential equations with variable coefficients driven by L{e}vy white noise. We first derive an existence theorem for integral transforms of L{e}vy white noise and prove the existence of generalized and mild solutions of second order elliptic partial differential equations. Furthermore, we discuss the generalized electric Schrodinger operator for different potential functions $V$.
In this paper, we define new unfitted finite element methods for numerically approximating the solution of surface partial differential equations using bulk finite elements. The key idea is that the $n$-dimensional hypersurface, $Gamma subset mathbb{R}^{n+1}$, is embedded in a polyhedral domain in $mathbb R^{n+1}$ consisting of a union, $mathcal{T}_h$, of $(n+1)$-simplices. The finite element approximating space is based on continuous piece-wise linear finite element functions on $mathcal{T}_h$. Our first method is a sharp interface method, emph{SIF}, which uses the bulk finite element space in an approximating weak formulation obtained from integration on a polygonal approximation, $Gamma_{h}$, of $Gamma$. The full gradient is used rather than the projected tangential gradient and it is this which distinguishes emph{SIF} from the method of [42]. The second method, emph{NBM}, is a narrow band method in which the region of integration is a narrow band of width $O(h)$. emph{NBM} is similar to the method of [13]. but again the full gradient is used in the discrete weak formulation. The a priori error analysis in this paper shows that the methods are of optimal order in the surface $L^{2}$ and $H^{1}$ norms and have the advantage that the normal derivative of the discrete solution is small and converges to zero. Our third method combines bulk finite elements, discrete sharp interfaces and narrow bands in order to give an unfitted finite element method for parabolic equations on evolving surfaces. We show that our method is conservative so that it preserves mass in the case of an advection diffusion conservation law. Numerical results are given which illustrate the rates of convergence.
We study the regularity of the solution to an obstacle problem for a class of integro-differential operators. The differential part is a second order elliptic operator, whereas the nonlocal part is given by the integral fractional Laplacian. The obtained smoothness is then used to design and analyze a finite element scheme.
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