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

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  • 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.
    Mathematics Subject Classification: Primary: 34K28, 60H10, 60H15, 60J75; Secondary: 78M34.


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