Ulrik Fjordholm, University of Oslo
We design and analyse a numerical method for a stochastic transport equation. The velocity field is assumed to be of low regularity – lower than what is required in the deterministic theory. The stochastic term is of the transport type, with a spatially heterogeneous noise coefficient. We prove that the method satisfies an energy bound, and hence converges weakly to the exact solution.
This is joint work with Kenneth Karlsen and Peter Pang (University of Oslo).