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arxiv: 1607.05206 · v1 · pith:Y3QFSHNEnew · submitted 2016-07-18 · 🧮 math.NA

Crank-Nicolson finite element approximations for a linear stochastic fourth order equation with additive space-time white noise

classification 🧮 math.NA
keywords finiteelementmethodstochasticadditivecrank-nicolsonproblemsolution
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We consider a model initial- and Dirichlet boundary- value problem for a fourth-order linear stochastic parabolic equation, in one space dimension, forced by an additive space-time white noise. First, we approximate its solution by the solution of an auxiliary fourth-order stochastic parabolic problem with additive, finite dimensional, spectral-type stochastic load. Then, fully-discrete approximations of the solution to the approximate problem are constructed by using, for the discretization in space, a standard Galerkin finite element method based on $H^2$-piecewise polynomials, and, for time-stepping, the Crank-Nicolson method. Analyzing the convergence of the proposed discretization approach, we derive strong error estimates which show that the order of strong convergence of the Crank-Nicolson finite element method is equal to that reported in [Kosioris and Zouraris MMAN 44 (2010)] for the Backward Euler finite element method.

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