Numerical approximation of stochastic evolution equations: Convergence in scale of Hilbert spaces

DOI10.1016/J.CAM.2018.04.067MaRDI QIDQ6278629arXivWikidataFDO

Authors Hakima Bessaih, Erika Hausenblas, Tsiry Avisoa Randrianasolo, Paul André Razafimandimby

Publication date 14 October 2016

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.CAM.2018.04.067

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic analysis applied to problems in fluid mechanics (76M35)

arXiv classification

math.NA

Abstract: The present paper is devoted to the numerical approximation of an abstract stochastic nonlinear evolution equation in a separable Hilbert space {$mathrmH$}. Examples of equations which fall into our framework include the GOY and Sabra shell models and { a class of nonlinear heat equations.} The space-time numerical scheme is defined in terms of a Galerkin approximation in space and a { semi-implicit Euler--Maruyama scheme in time}. {We prove the convergence in probability of our scheme by means of an estimate of the error on a localized set of arbitrary large probability.} Our error estimate is shown to hold in a more regular space $$ with $$ and { that the explicit rate of convergence of our scheme depends on this parameter $$. }

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