The exponential integrator scheme for stochastic partial differential equations

Peter Kloeden, Gabriel Lord, Andreas Neuenkirch, Tony Shardlow

OAI: oai:purehost.bath.ac.uk:publications/f6a4907a-d0cc-4386-9d76-89503028d3d2 • DOI: https://doi.org/10.1016/j.cam.2010.08.011

We present an error analysis for a general semilinear stochastic evolution equation in d dimensions based on pathwise approximation. We discretize in space by a Fourier Galerkin method and in time by a stochastic exponential integrator. We show that for spatially regular (smooth) noise the number of nodes needed for the noise can be reduced and that the rate of convergence degrades as the regularity of the noise reduces (and the noise is rougher).

stochastic PDE Numerical analysis Reaction-diffusion