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Description:
Banas L, Röckner M, Wilke A. Convergent numerical approximation of the stochastic total variation flow. Stochastics and Partial Differential Equations : Analysis and Computations . 2020;9(2):437-471. ; We study the stochastic total variation flow (STVF) equation with linear multiplicative noise. By considering a limit of a sequence of regularized stochastic gradient flows with respect to a regularization parameter we obtain the existence of a unique variational solution of the STVF equation which satisfies a stochastic variational inequality. We propose an energy preserving fully discrete finite element approximation for the regularized gradient flow equation and show that the numerical solution converges to the solution of the unregularized STVF equation. We perform numerical experiments to demonstrate the practicability of the proposed numerical approximation.