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A Runge–Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise

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Abstract

In this paper a new Runge–Kutta type scheme is introduced for nonlinear stochastic partial differential equations (SPDEs) with multiplicative trace class noise. The proposed scheme converges with respect to the computational effort with a higher order than the well-known linear implicit Euler scheme. In comparison to the infinite dimensional analog of Milstein type scheme recently proposed in Jentzen and Röckner (2012), our scheme is easier to implement and needs less computational effort due to avoiding the derivative of the diffusion function. The new scheme can be regarded as an infinite dimensional analog of Runge–Kutta method for finite dimensional stochastic ordinary differential equations (SODEs). Numerical examples are reported to support the theoretical results.

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Authors and Affiliations

  1. School of Mathematical Sciences and Computing Technology, Central South University, Changsha, 410075, Hunan, People’s Republic of China

    Xiaojie Wang & Siqing Gan

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  1. Xiaojie Wang
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  2. Siqing Gan
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Correspondence to Xiaojie Wang.

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Wang, X., Gan, S. A Runge–Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise. Numer Algor 62, 193–223 (2013). https://doi.org/10.1007/s11075-012-9568-8

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  • DOI: https://doi.org/10.1007/s11075-012-9568-8

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