The correction-limit conjecture for asymmetric Burgers discretisations

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Let uu solve the stochastic Burgers equation with viscosity u u, noise amplitude σ\sigma, and asymmetric finite-difference parameters a,ba,b. Let uεu^{\varepsilon} denote the solution of the corresponding approximating equation. Correction-limit conjecture. The solution uεu^{\varepsilon} converges as ε→0\varepsilon\to0 to the solution of

du=ν ∂x2u dt−u ∂xu dt+σ24νa−ba+b dt+σ dw.du=\nu\,\partial_x^2u\,dt-u\,\partial_xu\,dt+\frac{\sigma^2}{4\nu}\frac{a-b}{a+b}\,dt+\sigma\,dw.

Thus, the approximation converges to the stochastic Burgers equation only when a=ba=b. This prediction is based on the non-vanishing zero-mode correction produced by the asymmetric discretisation; the source presents it as an expectation rather than a proved result.

References

Primary source

Martin Hairer and Jochen Voss, “Approximations to the Stochastic Burgers Equation”, arXiv:1005.4438 (2010).

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