Andreas Petersson

Andreas Petersson
University of Oslo · Department of Mathematics

About

15
Publications
538
Reads
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32
Citations
Citations since 2016
14 Research Items
32 Citations
2016201720182019202020212022024681012
2016201720182019202020212022024681012
2016201720182019202020212022024681012
2016201720182019202020212022024681012
Additional affiliations
September 2020 - present
University of Oslo
Position
  • PostDoc Position
Description
  • Member of STORM project with supervisor Giulia di Nunno
August 2015 - August 2020
Chalmers University of Technology
Position
  • PhD Student
Description
  • Thesis title: "Approximating Stochastic Partial Differential Equations with Finite Elements: Computation and Analysis". Supervisor: Annika Lang. Assistant supervisor: Stig Larsson. Date of dissertation: December 12, 2019.

Publications

Publications (15)
Preprint
Full-text available
Simulation of stochastic partial differential equations (SPDE) on a general domain requires a discretization of the noise. In this paper, the noise is discretized by a piecewise linear interpolation. The error caused by this is analyzed in the context of a fully discrete finite element approximation of a semilinear stochastic reaction-advection-dif...
Preprint
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite dimensional Heston stochastic volatility models of (F.E. Benth, I.C. Simonsen '18), introduced for the pricing of forward contracts. The HEIDIH model consists of a one-dim...
Article
Full-text available
The problem of approximating the covariance operator of the mild solution to a linear stochastic partial differential equation is considered. An integral equation involving the semigroup of the mild solution is derived and a general error decomposition is proven. This formula is applied to approximations of the covariance operator of a stochastic a...
Article
Full-text available
Regularity estimates for an integral operator with a symmetric continuous kernel on a convex bounded domain are derived. The covariance of a mean-square continuous random field on the domain is an example of such an operator. The estimates are of the form of Hilbert–Schmidt norms of the integral operator and its square root, composed with fractiona...
Preprint
Full-text available
Regularity estimates for an integral operator with a symmetric continuous kernel on a convex bounded domain are derived. The covariance of a mean-square continuous random field on the domain is an example of such an operator. The estimates are of the form of Hilbert--Schmidt norms of the integral operator and its square root, composed with fraction...
Preprint
Full-text available
This paper introduces SPDE bridges with observation noise and contains an analysis of their spatially semidiscrete approximations. The SPDEs are considered in the form of mild solutions in an abstract Hilbert space framework suitable for parabolic equations. They are assumed to be linear with additive noise in the form of a cylindrical Wiener proce...
Preprint
Full-text available
The problem of approximating the covariance operator of the mild solution to a linear stochastic partial differential equation is considered. An integral equation involving the semigroup of the mild solution is derived and a general error decomposition formula is proven. This formula is applied to approximations of the covariance operator of a stoc...
Chapter
The efficient simulation of the mean value of a non-linear functional of the solution to a linear stochastic partial differential equation (SPDE) with additive Gaussian noise is considered. A Galerkin finite element method is employed along with an implicit Euler scheme to arrive at a fully discrete approximation of the mild solution to the equatio...
Article
The numerical approximation of the mild solution to a semilinear stochastic wave equation driven by additive noise is considered. A standard finite element method is employed for the spatial approximation and a a rational approximation of the exponential function for the temporal approximation. First, strong convergence of this approximation in bot...
Preprint
The computation of quadratic functionals of the solution to a linear stochastic partial differential equation with multiplicative noise is considered. An operator valued Lyapunov equation, whose solution admits a deterministic representation of the functional, is used for this purpose and error estimates are shown in suitable operator norms for a f...
Preprint
Full-text available
We consider the numerical approximation of the mild solution to a semilinear stochastic wave equation driven by additive noise. For the spatial approximation we consider a standard finite element method and for the temporal approximation, a rational approximation of the exponential function. We first show strong convergence of this approximation in...
Preprint
Full-text available
The efficient simulation of the mean value of a non-linear functional of the solution to a linear stochastic partial differential equations (SPDE) with additive Gaussian noise at a fixed time is considered. A Galerkin finite element method is employed along with an implicit Euler scheme to arrive at a fully discrete approximation of the mild soluti...
Article
The simulation of the expectation of a stochastic quantity E[Y] by Monte Carlo methods is known to be computationally expensive especially if the stochastic quantity or its approximation . Yn is expensive to simulate, e.g., the solution of a stochastic partial differential equation. If the convergence of Yn to Y in terms of the error |E[Y-Yn]| is t...
Article
Full-text available
The (asymptotic) behaviour of the second moment of solutions to stochastic differential equations is treated in mean-square stability analysis. The purpose of this article is to discuss this property for approximations of infinite-dimensional stochastic differential equations and give necessary and sufficient conditions that ensure mean-square stab...
Preprint
Full-text available
The simulation of weak error rates for the stochastic heat equation driven by multiplicative noise is presented. It is shown why conventional Monte Carlo approximations fail for these computationally expensive problems with small errors, and two different estimators for the weak error are presented that perform better in theory and in practice. One...

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