TFPDE
Numerical methods for SPDEs with tempered stable processes. We develop new probabilistic and deterministic approaches for moment statistics of stochastic partial differential equations with pure jump tempered α-stable (TαS) Lévy processes. With the compound Poisson (CP) approximation or the series representation of the TαS process, we simulate the moment statistics of stochastic reaction-diffusion equations with additive TαS white noises by the probability collocation method (PCM) and the Monte Carlo (MC) method. PCM is shown to be more efficient and accurate than MC in relatively low dimensions. Then as an alternative approach, we solve the generalized Fokker-Planck equation that describes the evolution of the density for stochastic overdamped Langevin equations to obtain the density and the moment statistics for the solution following two different approaches. First, we solve an integral equation for the density by approximating the TαS processes as CP processes; second, we directly solve the tempered fractional PDE (TFPDE). We show that the numerical solution of TFPDE achieves higher accuracy than PCM at a lower cost and we also demonstrate agreement between the histogram from MC and the density from the TFPDE.
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References in zbMATH (referenced in 6 articles , 1 standard article )
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Sorted by year (- Zhao, Yong-Liang; Zhu, Pei-Yong; Gu, Xian-Ming; Zhao, Xi-Le; Jian, Huan-Yan: A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation (2020)
- Hu, Dongdong; Cao, Xuenian: The implicit midpoint method for Riesz tempered fractional diffusion equation with a nonlinear source term (2019)
- Chen, Xu; Wang, Wenfei; Ding, Deng; Lei, Siu-Long: A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (2017)
- Qu, Wei; Liang, Yong: Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations (2017)
- Qu, Wei; Lei, Siu-Long: On CSCS-based iteration method for tempered fractional diffusion equations (2016)
- Zheng, Mengdi; Karniadakis, George Em: Numerical methods for SPDEs with tempered stable processes (2015)