Hairer, Martin and Voss, Jochen. (2011) Approximations to the stochastic Burgers equation. Journal of Nonlinear Science, Vol.21 (No.6). pp. 897-920. ISSN 0938-8974

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Abstract

This article is devoted to the numerical study of various finite-difference approximations to the stochastic Burgers equation. Of particular interest in the one-dimensional case is the situation where the driving noise is white both in space and in time. We demonstrate that in this case, different finite-difference schemes converge to different limiting processes as the mesh size tends to zero. A theoretical explanation of this phenomenon is given and we formulate a number of conjectures for more general classes of equations, supported by numerical evidence.

Item Type:	Journal Article
Divisions:	Faculty of Science > Mathematics
Journal or Publication Title:	Journal of Nonlinear Science
Publisher:	Springer
ISSN:	0938-8974
Date:	2011
Volume:	Vol.21
Number:	No.6
Page Range:	pp. 897-920
Identification Number:	10.1007/s00332-011-9104-3
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Funder:	Engineering and Physical Sciences Research Council (EPSRC) , Royal Society
Grant number:	EP/E002269/1 EP/D071593/1 (EPSRC)
URI:	http://wrap.warwick.ac.uk/id/eprint/41947

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