Convergent numerical approximation of the stochastic total variation flow

06/24/2019
by   Ľubomír Baňas, et al.
0

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 ε we obtain the existence of a unique variational solution of the STVF equation which satisfies a stochastic variational inequality. Furthermore, we propose an implicit numerical scheme 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 numerical approximation.

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