Nonnegativity preserving convergent schemes for stochastic porous-medium equations

We propose a fully discrete finite-element scheme for stochastic porous-medium equations with linear, multiplicative noise given by a source term. A subtle discretization of the degenerate diffusion coefficient combined with a noise approximation by bounded stochastic increments permits us to prove...

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Veröffentlicht in:Mathematics of computation 2019-05, Vol.88 (317), p.1021-1059
Hauptverfasser: Grillmeier, Hubertus, Grün, Günther
Format: Artikel
Sprache:eng
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Zusammenfassung:We propose a fully discrete finite-element scheme for stochastic porous-medium equations with linear, multiplicative noise given by a source term. A subtle discretization of the degenerate diffusion coefficient combined with a noise approximation by bounded stochastic increments permits us to prove H^1-regularity and nonnegativity of discrete solutions. By Nikol′skiĭ estimates in time, Skorokhod-type arguments and the martingale representation theorem, convergence of appropriate subsequences towards a weak solution is established. Finally, some preliminary numerical results are presented which indicate that linear, multiplicative noise in the sense of Ito, which enters the equation as a source-term, has a decelerating effect on the average propagation speed of the boundary of the support of solutions.
ISSN:0025-5718
1088-6842
DOI:10.1090/mcom/3372