Semigroup Splitting And Cubature Approximations For The Stochastic Navier-Stokes Equations
Numerical Analysis
2011-05-16 v1 Probability
Abstract
Approximation of the marginal distribution of the solution of the stochastic Navier-Stokes equations on the two-dimensional torus by high order numerical methods is considered. The corresponding rates of convergence are obtained for a splitting scheme and the method of cubature on Wiener space applied to a spectral Galerkin discretisation of degree . While the estimates exhibit a strong dependence, convergence is obtained for appropriately chosen time step sizes. Results of numerical simulations are provided, and confirm the applicability of the methods.
Keywords
Cite
@article{arxiv.1105.2579,
title = {Semigroup Splitting And Cubature Approximations For The Stochastic Navier-Stokes Equations},
author = {Philipp Doersek},
journal= {arXiv preprint arXiv:1105.2579},
year = {2011}
}