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Multilevel Monte-Carlo front tracking for random scalar conservation laws
(2012)SAM Research ReportWe consider random scalar hyperbolic conservation laws (RSCLs) in spatial dimension $d\ge 1$ with bounded random flux functions which are $\mathbb{P}$-a.s. Lipschitz continuous with respect to the state variable, for which there exists a unique random entropy solution (i.e., a measurable mapping from the probability space into $C(0,T;L^1(\mathbb{R}^d))$ with finite second moments). We present a convergence analysis of a Multi-Level ...Report -
hp-DG-QTT solution of high-dimensional degenerate diffusion equations
(2012)SAM Research ReportWe consider the discretization of degenerate, time-inhomogeneous Fokker-Planck equations for diffusion problems in high-dimensional domains. Well-posedness of the problem in time-weighted Bochner spaces is established. Analytic regularity of the time-dependence of the solution in countably normed, weighted Sobolev spaces is established. Time discretization by the hp-discontinuous Galerkin method is shown to converge exponentially. The ...Report -
Numerical solution of scalar conservation laws with random flux functions
(2012)Research ReportWe consider scalar hyperbolic conservation laws in several space dimensions, with a class of random (and parametric) flux functions. We propose a Karhunen–Loève expansion on the state space of the random flux. For random flux functions which are Lipschitz continuous with respect to the state variable, we prove the existence of a unique random entropy solution. Using a Karhunen–Loève spectral decomposition of the random flux into principal ...Report