Numerical methods for stochastic parabolic PDEs

Research output: Contribution to journalArticle

71 Citations (Scopus)

Abstract

We develop a convergence theory for finite difference approximations of reaction diffusion equations forced by an additive space–time white noise. Special care is taken to develop the estimates in terms of non-smooth initial data and over a long time interval, motivated by an abstract approximation theory of ergodic properties developed by Shardlow& Stuart.
Original languageEnglish
Pages (from-to)121-145
JournalNumerical Functional Analysis and Optimization
Volume20
Issue number1-2
DOIs
Publication statusPublished - 1999

Cite this

Numerical methods for stochastic parabolic PDEs. / Shardlow, Tony.

In: Numerical Functional Analysis and Optimization, Vol. 20, No. 1-2, 1999, p. 121-145.

Research output: Contribution to journalArticle

@article{6757332e1fed4673b65cdc32161d088c,
title = "Numerical methods for stochastic parabolic PDEs",
abstract = "We develop a convergence theory for finite difference approximations of reaction diffusion equations forced by an additive space–time white noise. Special care is taken to develop the estimates in terms of non-smooth initial data and over a long time interval, motivated by an abstract approximation theory of ergodic properties developed by Shardlow& Stuart.",
author = "Tony Shardlow",
year = "1999",
doi = "10.1080/01630569908816884",
language = "English",
volume = "20",
pages = "121--145",
journal = "Numerical Functional Analysis and Optimization",
issn = "0163-0563",
publisher = "Taylor and Francis",
number = "1-2",

}

TY - JOUR

T1 - Numerical methods for stochastic parabolic PDEs

AU - Shardlow, Tony

PY - 1999

Y1 - 1999

N2 - We develop a convergence theory for finite difference approximations of reaction diffusion equations forced by an additive space–time white noise. Special care is taken to develop the estimates in terms of non-smooth initial data and over a long time interval, motivated by an abstract approximation theory of ergodic properties developed by Shardlow& Stuart.

AB - We develop a convergence theory for finite difference approximations of reaction diffusion equations forced by an additive space–time white noise. Special care is taken to develop the estimates in terms of non-smooth initial data and over a long time interval, motivated by an abstract approximation theory of ergodic properties developed by Shardlow& Stuart.

U2 - 10.1080/01630569908816884

DO - 10.1080/01630569908816884

M3 - Article

VL - 20

SP - 121

EP - 145

JO - Numerical Functional Analysis and Optimization

JF - Numerical Functional Analysis and Optimization

SN - 0163-0563

IS - 1-2

ER -