Mathematics > Numerical Analysis
[Submitted on 17 Nov 2024]
Title:Strong Stability Preservation for Stochastic Partial Differential Equations
View PDF HTML (experimental)Abstract:This paper extends deterministic notions of Strong Stability Preservation (SSP) to the stochastic setting, enabling nonlinearly stable numerical solutions to stochastic differential equations (SDEs) and stochastic partial differential equations (SPDEs) with pathwise solutions that remain unconditionally bounded. This approach may offer modelling advantages in data assimilation, particularly when the signal or data is a realization of an SPDE or PDE with a monotonicity property.
Submission history
From: James Woodfield [view email][v1] Sun, 17 Nov 2024 20:48:45 UTC (12,979 KB)
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