Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations

DOI10.1137/12086412XMaRDI QIDQ4907539zbMATH OpenOpenAlexFDO

Authors Eric J. Hall

Publication date 4 February 2013

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.5769

zbMATH Keywords

high-order spatial accuracylinear parabolic stochastic partial differential equationsRichardson extrapolationspace-time discretization scheme

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Abstract: The present article investigates the convergence of a class of space-time discretization schemes for the Cauchy problem for linear parabolic stochastic partial differential equations (SPDEs) defined on the whole space. Sufficient conditions are given for accelerating the convergence of the scheme with respect to the spatial approximation to higher order accuracy by an application of Richardson's method. This work extends the results of Gy"ongy and Krylov [SIAM J. Math. Anal., 42 (2010), pp. 2275--2296] to schemes that discretize in time as well as space.

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Cited in

(11)

• Accelerated finite elements schemes for parabolic stochastic partial differential equations
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• Localization errors in solving stochastic partial differential equations in the whole space
• Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space
• Accelerated numerical schemes for PDEs and SPDEs
• Finite difference schemes for linear stochastic integro-differential equations
• On stochastic finite difference schemes
• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• Discretizations of stochastic evolution equations in variational approach driven by jump-diffusion
• The time dependent propensity function for acceleration of spatial stochastic simulation of reaction-diffusion systems

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