Post processing for stochastic parabolic partial differential equations

Lord, Gabriel and Shardlow, Tony (2006) Post processing for stochastic parabolic partial differential equations. [MIMS Preprint]

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Abstract

We investigate the strong approximation of stochastic parabolic partial differential equations with additive noise. We introduce post-processing in the context of a standard Galerkin approximation, although other spatial discretisations are possible. In time, we use an exponential integrator. We prove strong error estimates and discuss the best number of post-processing terms to take. Numerically, we evaluate the efficiency of the methods and observe rates of convergence. Some experiments with the implicit Euler--Maruyama method are described

Item Type:	MIMS Preprint
Subjects:	MSC 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis
Depositing User:	Tony Shardlow
Date Deposited:	05 Jan 2006
Last Modified:	20 Oct 2017 14:12
URI:	https://eprints.maths.manchester.ac.uk/id/eprint/137

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