Positivity-preserving schemes for some nonlinear stochastic PDEs
Numerical Analysis
2023-04-24 v1 Numerical Analysis
Probability
Abstract
We introduce a positivity-preserving numerical scheme for a class of nonlinear stochastic heat equations driven by a purely time-dependent Brownian motion. The construction is inspired by a recent preprint by the authors where one-dimensional equations driven by space-time white noise are considered. The objective of this paper is to illustrate the properties of the proposed integrators in a different framework, by numerical experiments and by giving convergence results.
Keywords
Cite
@article{arxiv.2304.11064,
title = {Positivity-preserving schemes for some nonlinear stochastic PDEs},
author = {Charles-Edouard Bréhier and David Cohen and Johan Ulander},
journal= {arXiv preprint arXiv:2304.11064},
year = {2023}
}