2006/01/29 by A. J. Roberts, Roberts, A. J.
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Mathematical Modeling in Engineering #Dynamical Systems (math.DS) #FOS: Mathematics #Numerical Analysis (math.NA) #Stochastic processes and financial applications #Theoretical and Computational Physics
paper · pdf · doi:10.48550/arxiv.math/0601702
openalex publication_date 2006/01/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Constructing discrete models of stochastic partial differential equations is very delicate. Stochastic centre manifold theory provides novel support for coarse grained, macroscale, spatial discretisations of nonlinear stochastic partial differential or difference equations such as the example of the stochastically forced Burgers' equation. Dividing the physical domain into finite length overlapping elements empowers the approach to resolve fully coupled dynamical interactions between neighbouring elements. The crucial aspect of this approach is that the underlying theory organises the resolution of the vast multitude of subgrid microscale noise processes interacting via the nonlinear dynamics within and between neighbouring elements. Noise processes with coarse structure across a finite element are the most significant noises for the discrete model. Their influence also diffuses away to weakly correlate the noise in the spatial discretisation. Nonlinear interactions have two further consequences: additive forcing generates multiplicative noise in the discretisation; and effectively new noise processes appear in the macroscale discretisation. The techniques and theory developed here may be applied to soundly discretise many dissipative stochastic partial differential and difference equations.