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Spectral Method for Nonlinear Stochastic Partial Differential Equations of Elliptic Type

Published online by Cambridge University Press:  28 May 2015

Yanzhao Cao  and
Li Yin
Yanzhao Cao
Affiliation:
Department of Mathematics, Auburn University, Auburn, AL 36849, USA
Li Yin
Affiliation:
LCP, Institute of Applied Physics and Computational Mathematics, Beijing 100088, China
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Abstract

This paper is concerned with the numerical approximations of semi-linear stochastic partial differential equations of elliptic type in multi-dimensions. Convergence analysis and error estimates are presented for the numerical solutions based on the spectral method. Numerical results demonstrate the good performance of the spectral method.

Keywords

65N3565N1565C3060H15Stochastic differential equationspectral methoderror estimateswhite noise
Type
Research Article
Information
Numerical Mathematics: Theory, Methods and Applications , Volume 4 , Issue 1 , February 2011 , pp. 38 - 52
Copyright
Copyright © Global Science Press Limited 2011

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