Lower bounds and nonuniform time discretization for approximation of stochastic heat equations (Q2462618): Difference between revisions

In this paper a stochastic heat equation on the Hilbert space \(L_2((0,1)^d)\) driven by a cylindrical Brownian motion is considered. The authors consider algorithms for approximation of the mild solution. Since they use nonuniform time discretizations the error aproximation in \(L_2\)-sense does not depend on the time discretization. The analysis of the approximations requires an upper bound for the error of a suitable algorithm and a lower bound that holds for the error of every algorithm that uses a total of \(N\) evaluations of one dimensional components of the driving Wiener process \(W\). The matching upper bound and an asymptotically optimal algorithm for equations with additive noise are given. Finally, the authors discuss some open problems.