Strong and weak approximation of semilinear stochastic evolution equations

DOI10.1007/978-3-319-02231-4zbMath1285.60002OpenAlexW121011854MaRDI QIDQ371442

Raphael Kruse

Publication date: 9 October 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02231-4

zbMATH Keywords

Galerkin methodMalliavin calculusstochastic heat equationweak errorsemilinear stochastic evolution equationstrong error

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (only showing first 100 items - show all)

Optimal analysis of finite element methods for the stochastic Stokes equations ⋮ Strong convergence rates for a full discretization of stochastic wave equation with nonlinear damping ⋮ Hyperbolic embedding of infinite-dimensional convex bodies ⋮ Sharp mean-square regularity results for SPDEs with fractional noise and optimal convergence rates for the numerical approximations ⋮ Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ Lagrangian chaos and scalar advection in stochastic fluid mechanics ⋮ Stability of Deep Neural Networks via Discrete Rough Paths ⋮ Numerical study for time fractional stochastic semi linear advection diffusion equations ⋮ Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift ⋮ Online Multiscale Model Reduction for Nonlinear Stochastic PDEs with Multiplicative Noise ⋮ Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise ⋮ Weak convergence of the L1 scheme for a stochastic subdiffusion problem driven by fractionally integrated additive noise ⋮ On the regularity of weak solutions to space-time fractional stochastic heat equations ⋮ On inverse initial value problems for the stochastic strongly damped wave equation ⋮ Stochastic Burgers' equation with fractional derivative driven by multiplicative noise ⋮ Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component ⋮ Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach ⋮ Optimal control of a quasilinear parabolic equation and its time discretization ⋮ Hilbert–Schmidt regularity of symmetric integral operators on bounded domains with applications to SPDE approximations ⋮ Newton's method for stochastic semilinear wave equations driven by multiplicative time‐space noise ⋮ Numerical approximation of nonlinear SPDE's ⋮ Wellposedness and regularity estimates for stochastic Cahn-Hilliard equation with unbounded noise diffusion ⋮ Solving linear parabolic rough partial differential equations ⋮ The notions of inertial balanced viscosity and inertial virtual viscosity solution for rate-independent systems ⋮ Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions ⋮ An efficient approximation to the stochastic Allen-Cahn equation with random diffusion coefficient field and multiplicative noise ⋮ Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp> ⋮ Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation ⋮ A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations ⋮ Well-posedness and stationary solutions of McKean-Vlasov (S)PDEs ⋮ Extended Milstein Approximation to the Stochastic Allen-Cahn Equation with Random Diffusion Coefficient Field and Multiplicative Noise ⋮ The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations ⋮ Strong convergence rates for the approximation of a stochastic time-fractional Allen-Cahn equation ⋮ Strong convergence for an explicit fully‐discrete finite element approximation of the Cahn‐Hillard‐Cook equation with additive noise ⋮ Localized Orthogonal Decomposition for a Multiscale Parabolic Stochastic Partial Differential Equation ⋮ An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation ⋮ Stochastic Volterra equations with Hölder diffusion coefficients ⋮ Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises ⋮ Temporal semi-discretizations of a backward semilinear stochastic evolution equation ⋮ Stability and convergence analysis of a fully discrete semi-implicit scheme for stochastic Allen-Cahn equations with multiplicative noise ⋮ Error Estimates of Semidiscrete and Fully Discrete Finite Element Methods for the Cahn--Hilliard--Cook equation ⋮ Strong convergence of a fractional exponential integrator scheme for finite element discretization of time-fractional SPDE driven by fractional and standard Brownian motions ⋮ Monte Carlo convergence rates for \(k\)th moments in Banach spaces ⋮ SPDE bridges with observation noise and their spatial approximation ⋮ Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise ⋮ Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ Existence and regularity of mild solutions to fractional stochastic evolution equations ⋮ A class of Hilfer fractional stochastic differential equations and optimal controls ⋮ Energy estimates and model order reduction for stochastic bilinear systems ⋮ Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients ⋮ Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE ⋮ Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations ⋮ Stochastic Navier-Stokes equations on a thin spherical domain ⋮ An exponential integrator scheme for time discretization of nonlinear stochastic wave equation ⋮ Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients ⋮ A note on an accelerated exponential Euler method for parabolic SPDEs with additive noise ⋮ Improved error estimates for a modified exponential Euler method for the semilinear stochastic heat equation with rough initial data ⋮ Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE ⋮ Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates ⋮ Discrete maximal regularity of an implicit Euler-Maruyama scheme with non-uniform time discretisation for a class of stochastic partial differential equations ⋮ Galerkin finite element method for time-fractional stochastic diffusion equations ⋮ Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations ⋮ Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise ⋮ Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion ⋮ A Galerkin finite element method for time-fractional stochastic heat equation ⋮ Stochastic exponential integrator for finite element spatial discretization of stochastic elastic equation ⋮ Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity ⋮ Numerical solutions to time-fractional stochastic partial differential equations ⋮ Global martingale solutions for a stochastic population cross-diffusion system ⋮ A fast mass-conserving explicit splitting method for the stochastic space-fractional nonlinear Schrödinger equation with multiplicative noise ⋮ Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise ⋮ Weak convergence for a spatial approximation of the nonlinear stochastic heat equation ⋮ Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients ⋮ Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs ⋮ On initial value and terminal value problems for subdiffusive stochastic Rayleigh-Stokes equation ⋮ A domain decomposition method for stochastic evolution equations ⋮ Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs ⋮ Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus ⋮ A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs ⋮ On the Itô-Alekseev-Gröbner formula for stochastic differential equations ⋮ Global martingale solutions for quasilinear SPDEs via the boundedness-by-entropy method ⋮ Stabilized variational formulations of Chorin-type and artificial compressibility methods for the stochastic Stokes-Darcy equations ⋮ Approximation of Hilbert-valued gaussians on Dirichlet structures ⋮ Weak approximations of stochastic partial differential equations with fractional noise ⋮ On Parareal Algorithms for Semilinear Parabolic Stochastic PDEs ⋮ Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations ⋮ Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise ⋮ A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations ⋮ Optimal error estimates of Galerkin finite element methods for stochastic Allen-Cahn equation with additive noise ⋮ A mild Itô formula for SPDEs ⋮ Weak convergence of fully discrete finite element approximations of semilinear hyperbolic SPDE with additive noise ⋮ Stochastic conformal schemes for damped stochastic Klein-Gordon equation with additive noise ⋮ Numerical approximation of stochastic time-fractional diffusion ⋮ A full discretization of the rough fractional linear heat equation ⋮ A new type of singular perturbation approximation for stochastic bilinear systems ⋮ Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises ⋮ A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise ⋮ \(L^p\)-convergence rate of backward Euler schemes for monotone SDEs ⋮ On a stochastic nonclassical diffusion equation with standard and fractional Brownian motion

This page was built for publication: Strong and weak approximation of semilinear stochastic evolution equations