SIAM Journal on Numerical Analysis
We consider a stochastic Darcy's pressure equation whose coefficient is generated by a white noise process on a Hilbert space employing the ordinary (rather than the Wick) product. A weak form of this equation involves different spaces for the solution and test functions and we establish a continuous inf-sup condition and well-posedness of the problem. We generalize the numerical approximations proposed in Benth and Theting [Stochastic Anal. Appl., 20 (2002), pp. 1191-1223] for Wick stochastic partial differential equations to the ordinary product stochastic pressure equation. We establish discrete inf-sup conditions and provide a priori error estimates for a wide class of norms. The proposed numerical approximation is based on Wiener-Chaos finite element methods and yields a positive definite symmetric linear system. We also improve and generalize the approximation results of Benth and Gjerde [Stochastics Stochastics Rep., 63 (1998), pp. 313-326] and Cao [Stochastics, 78 (2006), pp. 179-187] when a (generalized) process is truncated by a finite Wiener-Chaos expansion. Finally, we present numerical experiments to validate the results.
Galvis, J., & Sarkis, M. (2009). Approximating Infinity-Dimensional Stochastic Darcy's Equations without Uniform Ellipticity. SIAM Journal on Numerical Analysis, 47(5), 3624-3651. http://dx.doi.org/10.1137/080717924
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