Time integration of dissipative stochastic PDEs
The paper is focused on the numerical solution of stochastic reaction-diffusion problems. A special attention is addressed to the conservation of mean-square dissipativity in the time integration of the spatially discretized problem, obtained through finite differences. The analysis highlights the conservative ability of stochastic θ -methods and stochastic θ -IMEX methods, emphasizing the roles of spatial and temporal stepsizes. A selection of numerical experiments is provided, confirming the theoretical expectations.
Authors
- Helena Biščević
- Raffaele D ’ Ambrosio
Institutions
- Gran Sasso Science Institute (IT)
Publication Details
- Journal
- Applied Numerical Mathematics
- Published
- 2025-11-20
- DOI
- https://doi.org/10.1016/j.apnum.2025.11.005
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00