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research article

Existence of dynamical low rank approximations for random semi-linear evolutionary equations on the maximal interval

Kazashi, Yoshihito  
•
Nobile, Fabio  
2021
Stochastics And Partial Differential Equations-Analysis And Computations

An existence result is presented for the dynamical low rank (DLR) approximation for random semi-linear evolutionary equations. The DLR solution approximates the true solution at each time instant by a linear combination of products of deterministic and stochastic basis functions, both of which evolve over time. A key to our proof is to find a suitable equivalent formulation of the original problem. The so-called Dual Dynamically Orthogonal formulation turns out to be convenient. Based on this formulation, the DLR approximation is recast to an abstract Cauchy problem in a suitable linear space, for which existence and uniqueness of the solution in the maximal interval are established.

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Kazashi-Nobile2020_Article_ExistenceOfDynamicalLowRankApp.pdf

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