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Approximation and model order reduction for second order systems with Levy-noise

Pages: 945 - 953, Issue special, November 2015

doi:10.3934/proc.2015.0945        Abstract        References        Full Text (379.2K)              

Martin Redmann - Max Planck Institute for Dynamics of Complex Technical Systems, Sandtorstr. 1, 39106 Magdeburg, Germany (email)
Peter Benner - Max Planck Institute for Dynamics of Complex Technical Systems, Sandtorstr. 1, 39106 Magdeburg, Germany (email)

Abstract: We consider a controlled second order stochastic partial differential equation (SPDE) with Levy noise. To solve this system numerically, we apply a Galerkin scheme leading to a sequence of ordinary SDEs of large order. To reduce the high dimension we use balanced truncation.

Keywords:  Galerkin method, Levy processes, balanced truncation, SODEs, SPDEs.
Mathematics Subject Classification:  Primary: 34K28, 60H10, 60H15, 60J75; Secondary: 78M34.

Received: September 2014;      Revised: September 2015;      Published: November 2015.

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