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

Martin  Redmann; Peter  Benner

doi:10.3934/proc.2015.0945

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2015, Volume 2015: 945-953. Doi: 10.3934/proc.2015.0945 open access

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

Martin Redmann^1, and
Peter Benner^1,

1.
Max Planck Institute for Dynamics of Complex Technical Systems, Sandtorstr. 1, 39106 Magdeburg

Received: August 31, 2014

Revised: August 31, 2015

Published: October 2015

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Abstract

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.

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

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