Pré-Publication, Document De Travail Année : 2023

Positivity-preserving schemes for some nonlinear stochastic PDEs

Résumé

We introduce a positivity-preserving numerical scheme for a class of nonlinear stochastic heat equations driven by a purely time-dependent Brownian motion. The construction is inspired by a recent preprint by the authors where one-dimensional equations driven by space-time white noise are considered. The objective of this paper is to illustrate the properties of the proposed integrators in a different framework, by numerical experiments and by giving convergence results.

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Dates et versions

hal-04077856 , version 1 (21-04-2023)

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  • HAL Id : hal-04077856 , version 1

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Charles-Edouard Bréhier, David Cohen, Johan Ulander. Positivity-preserving schemes for some nonlinear stochastic PDEs. 2023. ⟨hal-04077856⟩
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