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LOCALIZED ORTHOGONAL DECOMPOSITION FOR A MULTISCALE PARABOLIC STOCHASTIC PARTIAL DIFFERENTIAL EQUATION.
- Source :
-
Multiscale Modeling & Simulation . 2024, Vol. 22 Issue 1, p204-229. 26p. - Publication Year :
- 2024
-
Abstract
- A multiscale method is proposed for a parabolic stochastic partial differential equation with additive noise and highly oscillatory diffusion. The framework is based on the localized orthogonal decomposition (LOD) method and computes a coarse-scale representation of the elliptic operator, enriched by fine-scale information on the diffusion. Optimal order strong convergence is derived. The LOD technique is combined with a (multilevel) Monte Carlo estimator and the weak error is analyzed. Numerical examples that confirm the theoretical findings are provided, and the computational efficiency of the method is highlighted. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 15403459
- Volume :
- 22
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Multiscale Modeling & Simulation
- Publication Type :
- Academic Journal
- Accession number :
- 176969238
- Full Text :
- https://doi.org/10.1137/23M1569216