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.

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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
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article

Time integration of dissipative stochastic PDEs

Helena Biščević, Raffaele D ’ Ambrosio
Applied Numerical Mathematics
Stochastic processes and financial applications
article

Time integration of dissipative stochastic PDEs

Helena Biščević, Raffaele D ’ Ambrosio
article en

Abstract

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.

Applied Numerical MathematicsVol. 222
Gran Sasso Science Institute (IT)
Openalex Percentile: Top 56%
Stochastic processes and financial applications
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