1. Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise
- Author
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Caroline Bauzet, Flore Nabet, Kerstin Schmitz, Aleksandra Zimmermann, Laboratoire de Mécanique et d'Acoustique [Marseille] (LMA ), Centre National de la Recherche Scientifique (CNRS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM), Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Universität Duisburg-Essen, Fakultät für Mathematik, ANR-19-CE40-0016,SIMALIN,Simulation aléatoire en dimension infinie(2019), European Project, European Project: ZI 1542/3-1, and Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS)
- Subjects
Variational approach ,Numerical Analysis (math.NA) ,Stochastic compactness method ,Finite-volume method ,60H15, 35K05, 65M08 ,[MATH.MATH-PR]Mathematics [math]/Probability [math.PR] ,Mathematics - Analysis of PDEs ,Convergence analysis ,Mathematik ,FOS: Mathematics ,[MATH.MATH-AP]Mathematics [math]/Analysis of PDEs [math.AP] ,Mathematics - Numerical Analysis ,Multiplicative Lipschitz noise ,[MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA] ,Stochastic heat equation ,Analysis of PDEs (math.AP) - Abstract
International audience; We study here the approximation by a finite-volume scheme of a heat equation forced by a Lipschitz continuous multiplicative noise in the sense of Itô. More precisely, we consider a discretization which is semi-implicit in time and a two-point flux approximation scheme (TPFA) in space. We adapt the method based on the theoremof Prokhorov to obtain a convergence in distribution result, then Skorokhod'srepresentation theorem yields the convergence of the scheme towards a martingalesolution and the Gyöngy-Krylov argument is used to prove convergence in probabilityof the scheme towards the unique variational solution of our parabolic problem.
- Published
- 2022
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