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arxiv: 1711.01998 · v1 · pith:YJVTXXJ7new · submitted 2017-11-06 · 🧮 math.NA · cs.NA

Convergence of finite element solutions of stochastic partial integro-differential equations driven by white noise

classification 🧮 math.NA cs.NA
keywords noisenumericalconvergencediscretizationdrivenelementfiniteintegro-differential
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Numerical approximation of a stochastic partial integro-differential equation driven by a space- time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.

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