Monday, May 7, 2018 - 14:15 in V5-148
Space-time adaptivity for SPDEs
A talk in the Oberseminar Numerik series by
Christian Schellnegger from Tübingen
| Abstract: |
I propose a new space-time adaptive strategy to numerically solve a general SPDE.
Local step sizes are chosen in regard of the distance
between empirical laws of current Euler iterates and extrapolated
data. This histogram-based estimator uses a data-driven partitioning
of the high-dimensional state space. Time adaptivity is then
complemented by a local refinement/coarsening strategy of the spatial
mesh via a stochastic version of the ZZ-estimator. If combined with a
stable discretization for the SPDE which has a weak martingale
solution, this general space-time adaptive strategy leads also to an
efficient method, and also reduces the empirical variance of standard
estimators.
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