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Weak convergence of Galerkin approximations for fractional elliptic stochastic PDEs with spatial white noise. (English) Zbl 1405.65147

Summary: The numerical approximation of the solution to a stochastic partial differential equation with additive spatial white noise on a bounded domain is considered. The differential operator is assumed to be a fractional power of an integer order elliptic differential operator. The solution is approximated by means of a finite element discretization in space and a quadrature approximation of an integral representation of the fractional inverse from the Dunford-Taylor calculus. For the resulting approximation, a concise analysis of the weak error is performed. Specifically, for the class of twice continuously Fréchet differentiable functionals with second derivatives of polynomial growth, an explicit rate of weak convergence is derived, and it is shown that the component of the convergence rate stemming from the stochasticity is doubled compared to the corresponding strong rate. Numerical experiments for different functionals validate the theoretical results.

MSC:

65N30 Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
65C30 Numerical solutions to stochastic differential and integral equations
65C60 Computational problems in statistics (MSC2010)
65N12 Stability and convergence of numerical methods for boundary value problems involving PDEs
35R60 PDEs with randomness, stochastic partial differential equations
35R11 Fractional partial differential equations

Software:

GMRFLib

References:

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