06104704

j

06104704 Barth, Andrea Lang, Annika Simulation of stochastic partial differential equations using finite element methods. Stochastics 84, No. 2-3, 217-231 (2012). 2012 Taylor \& Francis, Abingdon EN finite element method stochastic partial differential equation L\'evy process Galerkin's method

doi:10.1080/17442508.2010.523466

Summary: These notes describe numerical issues that may arise when implementing a simulation method for a stochastic partial differential equation (SPDE). It is shown that an additional approximation of the noise does not necessarily affect the order of convergence of a discretization method for a SPDE driven by L\'evy noise. Furthermore, finite element methods are explicitly given and simulations are done. In statistical tests, it is shown that the simulations obey the theoretical orders of convergence.