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arXiv 1202.2706math.NAcs.NAmath.PR
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随机偏微分方程系统的HMM时间离散化方案分析

Analysis of a HMM time-discretization scheme for a system of Stochastic PDE's

ENS Cachan Bretagne - IRMAR, Université Rennes 1(巴黎高等师范学院卡昂布列塔尼分校-雷恩1大学IRMAR)

Charles-Edouard Bréhier

AI总结:

针对具有慢快分量的抛物型随机偏微分方程系统,提出一种基于平均原理的异构多尺度方法,采用两个耦合的半隐式欧拉格式离散时间,并推导了慢分量在强意义和弱意义下的误差界。

摘要:

我们考虑一类具有慢快分量的抛物型随机偏微分方程的时间离散化;快方程由加性时空白噪声驱动。数值方法受该系统满足的平均原理启发,并适用于异构多尺度方法的框架。慢分量和快分量使用两个耦合的数值半隐式欧拉格式进行近似,这两个格式依赖于不同的时间步长。我们推导了慢分量在强意义(轨迹近似)和弱意义(律的近似)下的近似误差界。这些估计将\cite{E-L-V}的结果推广到无穷维过程的情形。

英文摘要:

We consider the discretization in time of a system of parabolic stochastic partial differential equations with slow and fast components; the fast equation is driven by an additive space-time white noise. The numerical method is inspired by the Averaging Principle satisfied by this system, and fits to the framework of Heterogeneous Multiscale Methods.The slow and the fast components are approximated with two coupled numerical semi-implicit Euler schemes depending on two different timestep sizes. We derive bounds of the approximation error on the slow component in the strong sense - approximation of trajectories - and in the weak sense - approximation of the laws. The estimates generalize the results of \cite{E-L-V} in the case of infinite dimensional processes.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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