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Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise

Abstract : We study here the approximation by a finite-volume scheme of a heat equation forced by a Lipschitz continuous multiplicative noise in the sense of Itô. More precisely, we consider a discretization which is semi-implicit in time and a two-point flux approximation scheme (TPFA) in space. Since the nonlinearity in the stochastic integral is not compatible with the weak convergence obtained by the a priori estimates, we adapt the method based on the theorem of Prokhorov and on Skorokhod's representation theorem in order to show stochastically strong convergence of the scheme towards the unique variational solution of our parabolic problem.
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https://hal.archives-ouvertes.fr/hal-03663571
Contributor : Flore Nabet Connect in order to contact the contributor
Submitted on : Tuesday, May 10, 2022 - 11:47:21 AM
Last modification on : Wednesday, May 11, 2022 - 3:48:00 AM

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  • HAL Id : hal-03663571, version 1

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Caroline Bauzet, Flore Nabet, Kerstin Schmitz, Aleksandra Zimmermann. Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise. 2022. ⟨hal-03663571⟩

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