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Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance. (English) Zbl 1452.65290

An approach to discretize stochastic partial differential equations based on fluctuation-dissipation balance (instead of a direct approach based on random fluxes) is proposed. The authors develop robust discontinuous Galerkin methods and apply them to various initial-boundary value problems.

MSC:

65M75 Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs
65M60 Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs
35R60 PDEs with randomness, stochastic partial differential equations
65C30 Numerical solutions to stochastic differential and integral equations

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