Related papers: Higher order time discretization method for the st…
This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise. Our main interest is on such SPDEs where the…
We study stochastic optimization from a joint continuous-discrete point of view. Starting from a second-order stochastic differential equation interpreted as a noisy accelerated gradient flow, we discretize the dynamics by a fully implicit…
We present a novel multilevel Monte Carlo approach for estimating quantities of interest for stochastic partial differential equations (SPDEs). Drawing inspiration from [Giles and Szpruch: Antithetic multilevel Monte Carlo estimation for…
In this paper, the stabilized finite element method based on local projection is applied to discretize the Stokes eigenvalue problems and the corresponding convergence analysis is given. Furthermore, we also use a method to improve the…
Recent works showed that pressure-robust modifications of mixed finite element methods for the Stokes equations outperform their standard versions in many cases. This is achieved by divergence-free reconstruction operators and results in…
In this paper, we propose and analyze an explicit time-stepping scheme for a spatial discretization of stochastic Cahn--Hilliard equation with additive noise. The fully discrete approximation combines a spectral Galerkin method in space…
In this work we consider the two dimensional instationary Navier-Stokes equations with homogeneous Dirichlet/no-slip boundary conditions. We show error estimates for the fully discrete problem, where a discontinuous Galerkin method in time…
Numerical methods for stochastic partial differential equations typically estimate moments of the solution from sampled paths. Instead, we shall directly target the deterministic equations satisfied by the first and second moments, as well…
Inspired by path-integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids averaging over trajectories. To test the method,…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
In this paper, we propose and analyze a fully discrete finite element projection method for the magnetohydrodynamic (MHD) equations. A modified Crank--Nicolson method and the Galerkin finite element method are used to discretize the model…
In this paper we propose a novel arbitrary high order accurate semi-implicit space-time discontinuous Galerkin method for the solution of the two dimensional incompressible Navier-Stokes equations on staggered unstructured triangular…
We investigate the numerical approximation of the stochastic Allen--Cahn equation with multiplicative noise on a periodic domain. The considered scheme uses a recently proposed augmented variant of scalar auxiliary variable method for the…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
The main objective of the present paper is to construct a new class of space-time discretizations for the stochastic $p$-Stokes system and analyze its stability and convergence properties. We derive regularity results for the approximation…
In this article, a hybridizable discontinuous Galerkin (HDG) method is proposed and analyzed for the Klein-Gordon equation with local Lipschitz-type non-linearity. {\it A priori} error estimates are derived, and it is proved that…
The main difficulty in studying numerical method for stochastic evolution equations (SEEs) lies in the treatment of the time discretization (J. Printems. [ESAIM Math. Model. Numer. Anal. (2001)]). Although fruitful results on numerical…
We investigate a discretization of a class of stochastic heat equations on the unit sphere with multiplicative noises. A spectral method is used for the spatial discretization and the truncation of the Wiener process, while an implicit…
This paper develops and analyzes a fully discrete finite element method for a class of semilinear stochastic partial differential equations (SPDEs) with multiplicative noise. The nonlinearity in the diffusion term of the SPDEs is assumed to…
In this article we obtain an optimal best approximation type result for fully discrete approximations of the transient Stokes problem. For the time discretization we use the discontinuous Galerkin method and for the spatial discretization…