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Difference Approximation of Stochastic Elastic Equation Driven by Infinite Dimensional Noise

Part of: Partial differential equations, initial value and time-dependent initial-boundary value problems Stochastic analysis

Published online by Cambridge University Press:  15 February 2016

Yinghan Zhang ,
Xiaoyuan Yang  and
Ruisheng Qi
Yinghan Zhang*
Affiliation:
Department of Mathematics, Beihang University, LMIB of the Ministry of Education, Beijing 100191, China
Xiaoyuan Yang
Affiliation:
Department of Mathematics, Beihang University, LMIB of the Ministry of Education, Beijing 100191, China
Ruisheng Qi
Affiliation:
Department of Mathematics, Beihang University, LMIB of the Ministry of Education, Beijing 100191, China
*
*Corresponding author. Email address: zhangyinghan007@126.com (Y.-H. Zhang)
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Abstract

An explicit difference scheme is described, analyzed and tested for numerically approximating stochastic elastic equation driven by infinite dimensional noise. The noise processes are approximated by piecewise constant random processes and the integral formula of the stochastic elastic equation is approximated by a truncated series. Error analysis of the numerical method yields estimate of convergence rate. The rate of convergence is demonstrated with numerical experiments.

Keywords

Stochastic partial differential equationsdifference schemestochastic elastic equationinfinite dimensional noiserate of convergence

MSC classification

Secondary: 60H15: Stochastic partial differential equations 65M06: Finite difference methods
Type
Research Article
Information
Numerical Mathematics: Theory, Methods and Applications , Volume 9 , Issue 1 , February 2016 , pp. 123 - 146
Copyright
Copyright © Global-Science Press 2016 

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