Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise (Q691820)

The weak error of a semi-discretization based on the linear implicit Euler method (in time) for semilinear stochastic partial differential equations (SPDEs) \[ dX(t) = [A X(t) + F(X(t))]dt + dW(t), X(0) \in H \] with twice continuously Fréchet differentiable, linear-bounded nonlinearity \(F\) with uniformly bounded derivatives and state-independent (additive) Wiener process \(W\) in time is studied, where \(H\) is a separable Hilbert space and operator \(A\) generates an analytic semigroup. As commonly expected, the error estimation depends on the regularity of its mild solutions. Weak approximation by Euler methods and its rates were also verified by \textit{A. Debussche} [Math. Comput. 80, No. 273, 89--117 (2011; Zbl 1217.65011)]. Strong convergence of the linear implicit Euler method for SDEs is shown in chapter 9 of the book by \textit{H. Schurz} [Stability, stationarity, and boundedness of some implicit numerical methods for stochastic differential equations and applications. Berlin: Logos-Verlag (1997; Zbl 0905.60002)].