Abstract
© 2015 The Authors. A fully discrete approximation of one-dimensional nonlinear stochastic wave equations driven by multiplicative noise is presented. A standard finite difference approximation is used in space and a stochastic trigonometric method is used for the temporal approximation. This explicit time integrator allows for error bounds in Lp(Ω), uniformly in time and space, in such a way that the time discretization does not suffer from any kind of CFL-type step-size restriction. Moreover, uniform almost sure convergence of the numerical solution is also proved. Numerical experiments are presented and confirm the theoretical results.
Original language | English |
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Pages (from-to) | 400-420 |
Journal | IMA Journal of Numerical Analysis |
Volume | 36 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1 Jan 2015 |
Keywords
- Finite differences
- Multiplicative noise
- Nonlinear stochastic wave equation
- stochastic trigonometric methods
- Strong convergence