Skip to Main content Skip to Navigation
Conference papers

Convergence of a finite-volume scheme for a heat equation with a multiplicative stochastic force

Abstract : We present here the discretization by a finite-volume scheme of a heat equation perturbed by a multiplicative noise of Itô type and under homogeneous Neumann boundary conditions. The idea is to adapt well-known methods in the de-terministic case for the approximation of parabolic problems to our stochastic PDE. In this paper, we try to highlight difficulties brought by the stochastic perturbation in the adaptation of these deterministic tools.
Complete list of metadata

Cited literature [8 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-02442422
Contributor : Flore Nabet Connect in order to contact the contributor
Submitted on : Wednesday, January 29, 2020 - 8:58:21 PM
Last modification on : Wednesday, November 3, 2021 - 9:47:26 AM
Long-term archiving on: : Thursday, April 30, 2020 - 7:13:32 PM

File

FVCA9_Bauzet_Nabet_Final.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-02442422, version 2

Citation

Caroline Bauzet, Flore Nabet. Convergence of a finite-volume scheme for a heat equation with a multiplicative stochastic force. Finite Volumes for Complex Applications IX, Jun 2020, Bergen, Norway. ⟨hal-02442422v2⟩

Share

Metrics

Record views

217

Files downloads

191