Accelerated finite elements schemes for parabolic stochastic partial differential equations (Q2219500)

A parabolic stochastic partial differential equation \[ du_t(x)=[\mathcal L_tu_t(x)+f_t(x)]\,dt+[\mathcal M^\rho_tu_t(x)+g^\rho_t(x)]\,dW^\rho_t,\qquad u_0(x)=\phi(x) \] on \([0,T]\times\mathbb R^d\) is considered, where \(W^\rho\), \(\rho\in\mathbb N\) are independent Wiener processes, \begin{align*} \mathcal L_tu(x)&=\frac{\partial}{\partial x_i}\left(a^{ij}_t(x)\frac{\partial u}{\partial x_j}\right)+b^{i}_t(x)\frac{\partial u}{\partial x_i}+c_t(x)u(x), \\ \mathcal M^\rho_tu(x)&=\sigma^{i\rho}_t(x)\frac{\partial u}{\partial x_i}+\nu^\rho_t(x)u(x), \end{align*} \(\phi\) is a sufficiently regular random initial condition, \(a^{ij}=a^{ji}\), \(b^i\), \(c\), \(\sigma^{i\rho}\), \(\nu^{\rho}\), \(f\), \(g^\rho\) are sufficiently regular predictable processes, and the matrix-valued process \[ a-\frac{1}{2}\sigma\sigma^* \] is uniformly elliptic. If suitable (yet reasonable) assumptions on the finite elements structure are imposed then solutions \(u^h\) of the associated finite elements approximation of \(u\) exist and admit an expansion in terms of powers of the parameter \(h\) that is proportional to the size of the finite elements; the Richardson extrapolation to this approximation can be applied and the speed of convergence is increased. More precisely, for any \(J\in\mathbb N\) that is limited merely by the regularity of \(a\), \(b\), \(c\), \(\sigma\), \(\nu\), \(f\), \(g\) and \(\phi\), there exists a constant \(c\) and explicit constants \(c_0,\dots,c_\ell\), all independent of \(h\) such that \[ \mathbb E\,\sup_{t\in[0,T]}\sum_{x\in\mathbb G_h}|u_t(x)-\bar u_t(x)|^2|h|^d\le c|h|^{2J+2} \] holds for every \(h\in(0,1]\). Here \(\ell=\left \lfloor{J/2}\right\rfloor\), \[ \bar u^h=\sum_{j=0}^\ell c_ju^{h/2^j} \] and \(\mathbb G_h\) is the spatial grid in \(\mathbb R^d\) associated with the finite elements structure.