Euler-Maruyama approximations of the stochastic heat equation on the sphere
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866914664004190208 |
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| author | Lang, Annika Motschan-Armen, Ioanna |
| author_facet | Lang, Annika Motschan-Armen, Ioanna |
| contents | The stochastic heat equation on the sphere driven by additive isotropic Wiener noise is approximated by a spectral method in space and forward and backward Euler-Maruyama schemes in time. The spectral approximation is based on a truncation of the series expansion with respect to the spherical harmonic functions. Optimal strong convergence rates for a given regularity of the initial condition and driving noise are derived for the Euler-Maruyama methods. Besides strong convergence, convergence of the expectation and second moment is shown, where the approximation of the second moment converges with twice the strong rate. Numerical simulations confirm the theoretical results. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2307_07564 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Euler-Maruyama approximations of the stochastic heat equation on the sphere Lang, Annika Motschan-Armen, Ioanna Numerical Analysis Probability 60H35, 65C30, 60H15, 35R60, 33C55, 65M70 The stochastic heat equation on the sphere driven by additive isotropic Wiener noise is approximated by a spectral method in space and forward and backward Euler-Maruyama schemes in time. The spectral approximation is based on a truncation of the series expansion with respect to the spherical harmonic functions. Optimal strong convergence rates for a given regularity of the initial condition and driving noise are derived for the Euler-Maruyama methods. Besides strong convergence, convergence of the expectation and second moment is shown, where the approximation of the second moment converges with twice the strong rate. Numerical simulations confirm the theoretical results. |
| title | Euler-Maruyama approximations of the stochastic heat equation on the sphere |
| topic | Numerical Analysis Probability 60H35, 65C30, 60H15, 35R60, 33C55, 65M70 |
| url | https://arxiv.org/abs/2307.07564 |