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 |
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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. |
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ISSN: | 0025-5718 1088-6842 |
DOI: | 10.1090/mcom/3372 |