Numerical solution of fractional elliptic stochastic PDEs with spatial white noise
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| Title: | Numerical solution of fractional elliptic stochastic PDEs with spatial white noise |
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| Authors: | Bolin, David, 1983, Kirchner, Kristin, Kovacs, Mihaly, 1977 |
| Source: | IMA Journal of Numerical Analysis. 40(2):1051-1073 |
| Subject Terms: | matérn covariances, Gaussian white noise, finite element methods, stochastic partial differential equations, spatial statistics, fractional operators |
| Description: | The numerical approximation of solutions to stochastic partial differential equations with additive spatial white noise on bounded domains in R-d is considered. The differential operator is given by the fractional power L-beta, beta is an element of (0, 1) of an integer-order elliptic differential operator L and is therefore nonlocal. Its inverse L-beta is represented by a Bochner integral from the Dunford-Taylor functional calculus. By applying a quadrature formula to this integral representation the inverse fractional-order operator L-beta is approximated by a weighted sum of nonfractional resolvents (I + exp(2yl)L)(-1) at certain quadrature nodes t(j) > 0. The resolvents are then discretized in space by a standard finite element method. This approach is combined with an approximation of the white noise, which is based only on the mass matrix of the finite element discretization. In this way an efficient numerical algorithm for computing samples of the approximate solution is obtained. For the resulting approximation the strong mean-square error is analyzed and an explicit rate of convergence is derived. Numerical experiments for L = kappa(2) - Delta, kappa > 0 with homogeneous Dirichlet boundary conditions on the unit cube (0, 1)(d) in d = 1, 2, 3 spatial dimensions for varying beta is an element of (0, 1) attest to the theoretical results. |
| File Description: | electronic |
| Access URL: | https://research.chalmers.se/publication/517523 https://research.chalmers.se/publication/518646 https://research.chalmers.se/publication/518646/file/518646_Fulltext.pdf |
| Database: | SwePub |
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