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- W2487855433 abstract "We consider the numerical approximation of a general second order semi--linear parabolic stochastic partial differential equation (SPDE) driven by additive space-time noise. We introduce a new modified scheme using a linear functional of the noise with a semi--implicit Euler--Maruyama method in time and in space we analyse a finite element method (although extension to finite differences or finite volumes would be possible). We prove convergence in the root mean square $L^{2}$ norm for a diffusion reaction equation and diffusion advection reaction equation. We present numerical results for a linear reaction diffusion equation in two dimensions as well as a nonlinear example of two-dimensional stochastic advection diffusion reaction equation. We see from both the analysis and numerics that the proposed scheme has better convergence properties than the standard semi--implicit Euler--Maruyama method." @default.
- W2487855433 created "2016-08-23" @default.
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- W2487855433 date "2010-04-12" @default.
- W2487855433 modified "2023-09-27" @default.
- W2487855433 title "A modified semi--implict Euler-Maruyama Scheme for finite element discretization of SPDEs with additive noise" @default.
- W2487855433 hasPublicationYear "2010" @default.
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