An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise (Q996817)

The authors consider the problem of discrete time approximation of solutions of stochastic heat equations with multiplicative noise. An implicit Euler scheme is employed to construct approximate solutions. The time discretization is designed to be non-uniform. An error bound as a function of the number of evaluations of Brownian motion components is derived. The rate of strong convergence is shown to be a function of the spatial dimension of the heat equation and the decay of the eigenfunctions of the covariance matrix. The proposed algorithm is optimal in a certain sense.