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Approximation of nonlinear stochastic partial differential equations by a kernel-based collocation method
by Qi Ye
International Journal of Applied Nonlinear Science (IJANS), Vol. 1, No. 2, 2014

 

Abstract: In this paper, we present a new idea to approximate high-dimensional nonlinear stochastic partial differential equations (SPDEs) by a kernel-based collocation method, which is a meshfree approximation method. A reproducing kernel is used to construct an approximate basis. The kernel-based collocation solution is a linear combination of the reproducing kernel with the differential and boundary operators of SPDEs at the given collocation points placed in the related high-dimensional domains. Its random expansion coefficients are computed by a random optimisation problem with constraint conditions induced by the nonlinear SPDEs. For a fixed kernel function, the convergence of kernel-based collocation solutions only depends on the fill distance of the chosen collocation points for the bounded domain of SPDEs. The numerical experiments of Sobolev-spline kernels for Klein-Gordon SPDEs show that the kernel-based collocation method produces the well-behaved approximate probability distributions of the SPDE solutions.

Online publication date: Sat, 24-May-2014

 

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