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Positivity-preserving schemes for some nonlinear stochastic PDEs

Authors :
Bréhier, Charles-Edouard
Cohen, David
Ulander, Johan
Publication Year :
2023

Abstract

We introduce a positivity-preserving numerical scheme for a class of nonlinear stochastic heat equations driven by a purely time-dependent Brownian motion. The construction is inspired by a recent preprint by the authors where one-dimensional equations driven by space-time white noise are considered. The objective of this paper is to illustrate the properties of the proposed integrators in a different framework, by numerical experiments and by giving convergence results.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2304.11064
Document Type :
Working Paper