Preprint No. MPIMD/14-16
Author(s): Martin Redmann, Peter Benner
Email: redmann@mpi-magdeburg.mpg.de
Date: 2014-09-15
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.
BibTeX:
@TECHREPORT{MPIMD14-16,
author = {Martin Redmann and Peter Benner},
title = {Approximation and Model Order Reduction for Second Order Systems with Levy-Noise},
number = {MPIMD/14-16},
month = sep,
year = 2014,
institution = {Max Planck Institute Magdeburg},
type = {Preprint},
note = {Available from \url{http://www.mpi-magdeburg.mpg.de/preprints/}},
}