Numerical solution of nonlinear SPDEs using a multi-scale method

‎In this paper we establish a new numerical method for solving a class of stochastic partial differential equations (SPDEs) based on B-splines wavelets‎. ‎The method combines implicit collocation with the multi-scale method‎. Using the multi-scale method‎, ‎SPDEs can be solved on a given subdomain with more accuracy and lower computational cost than the rest of the domain‎. ‎The stability and consistency of the method are provided‎. ‎Also numerical experiments illustrate the behavior of the proposed method‎.

کلیدواژه ها:

Multi-scale method‎ ، ‎Cubic B-splines‎ ، ‎Stochastic partial differential equations