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research article

Numerical methods for stochastic partial differential equations with multiple scales

Abdulle, A.  
•
Pavliotis, G. A.
2012
Journal of Computational Physics

A new method for solving numerically stochastic partial differential equations (SPDEs) with multiple scales is presented. The method combines a spectral method with the heterogeneous multiscale method (HMM) presented in [W. E, D. Liu, E. Vanden-Eijnden, Analysis of multiscale methods for stochastic differential equations, Commun. Pure Appl. Math., 58(11) (2005) 1544-1585]. The class of problems that we consider are SPDEs with quadratic nonlinearities that were studied in [D. Blomker, M. Hairer, G.A. Pavliotis, Multiscale analysis for stochastic partial differential equations with quadratic nonlinearities, Nonlinearity, 20(7) (2007) 1721-1744]. For such SPDEs an amplitude equation which describes the effective dynamics at long time scales can be rigorously derived for both advective and diffusive time scales. Our method, based on micro and macro solvers, allows to capture numerically the amplitude equation accurately at a cost independent of the small scales in the problem. Numerical experiments illustrate the behavior of the proposed method. (C) 2011 Elsevier Inc. All rights reserved.

  • Details
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Type
research article
DOI
10.1016/j.jcp.2011.11.039
Web of Science ID

WOS:000301011300007

Author(s)
Abdulle, A.  
Pavliotis, G. A.
Date Issued

2012

Published in
Journal of Computational Physics
Volume

231

Start page

2482

End page

2497

Subjects

Stochastic partial differential equations

•

Multiscale methods

•

Averaging

•

Homogenization

•

Heterogeneous multiscale method (HMM)

•

S-Rock

•

Interfaces

•

Climate

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANMC  
Available on Infoscience
April 5, 2012
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/79208
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