Layer methods for stochastic Navier–Stokes equations using simplest characteristics

Milstein, G.N. and Tretyakov, M.V. (2016) Layer methods for stochastic Navier–Stokes equations using simplest characteristics. Journal of Computational and Applied Mathematics, 302 . pp. 1-23. ISSN 1879-1778

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We propose and study a layer method for stochastic Navier-Stokes equations (SNSE) with spatial periodic boundary conditions and additive noise. The method is constructed using conditional probabilistic representations of solutions to SNSE and exploiting ideas of the weak sense numerical integration of stochastic differential equations. We prove some convergence results for the proposed method including its first mean-square order. Results of numerical experiments on two model problems are presented.

Item Type: Article
Keywords: Navier-Stokes Equations, Oseen-Stokes Equations, Helmholtz-Hodge-Leray Decomposition, Stochastic Partial Differential Equations, Conditional Feynman-Kac Formula, Weak Approximation of Stochastic Differential Equations and Layer Mathods
Schools/Departments: University of Nottingham, UK > Faculty of Science > School of Mathematical Sciences
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Depositing User: Eprints, Support
Date Deposited: 14 Mar 2016 12:06
Last Modified: 12 Oct 2017 20:24

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