Numerical schemes for rough parabolic equations (Q434372): Difference between revisions

In recent works, Gubinelli, Tindel and the author have studied the equation \[ y_0=\psi\in L^2(0,1), \qquad dy_t=Ay_tdt+\sum_{i=1}^mf_i(y_t)dx_t^i, \quad t\in[0,1], \] where \(A=\partial_{\xi}(a.\partial_{\xi})+c\) is a Sturm-Liouville operator with Dirichlet boundary conditions on \((0,1)\), \(f_i(y_t)(\xi):=g_i(y_t(\xi))\) for some smooth functions \(g_i:\mathbb{R}\rightarrow \mathbb{R}\), and \(x:[0,1]\rightarrow \mathbb{R}^m\) is a \(\gamma\)-Hölder path with \(\gamma>1/3\) which gives rise to a geometric rough path of order 1 or 2. They proved existence and uniqueness of a mild global solution for this equation. The aim of this paper is to introduce easily implementable approximation algorithms using a time-discretization and then a space-discretization following the Galerkin projection method. The results apply to a geometric 2-rough path, which covers the case of the multidimensional fractional Brownian motion with Hurst index \(H>1/3\).