Seminar in Numerical Analysis: David Cohen (Umeå University)

A fully discrete approximation of the one-dimensional stochastic wave equation

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 for the temporal approximation. This explicit time integrator allows for error bounds uniformly in time and space. Moreover, uniform almost sure convergence of the numerical solution is proved.

This is a joint work with Lluís Quer-Sardanyons, Universitat Autònoma de Barcelona.

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