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Numerical discretisation of one-dimensional stochastic wave equations

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Dr. David Cohen (Innsbruck University), 12 October 2016, 10:15 a.m., KHG II
When Oct 12, 2016
from 10:15 AM to 11:15 AM
Where KHG II
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Numerical discretisation of one-dimensional stochastic wave equations

A fully discrete approximation of one-dimensional nonlinear stochastic wave equations driven by multiplicative noise is presented. A standard finite difference approximation is used in space together with a stochastic trigonometric method for the temporal approximation. This explicit time integrator allows for error bounds uniformly in time and space. Moreover, uniform almost sure convergence of the numerical solution is proved.

This is a joint work with Lluís Quer-Sardanyons, Universitat Autònoma de Barcelona.