On discretization schemes for stochastic evolution equations
From MaRDI portal
Abstract: Stochastic evolutional equations with monotone operators are considered in Banach spaces. Explicit and implicit numerical schemes are presented. The convergence of the approximations to the solution of the equations is proved.
The authors study the approximation of the solution to the evolution equation in Banach spaces \[ u_t = u_0 + \int_0^t A_s(u_s) ds + \sum_{j=1}^r \int_0^t B_s^j (u_s) dW_s^j \] where \(u_0\) is a random variable that takes values in a Hilbert space, \(A\) and \(B\) are adapted operators and \(W=(W_t)_{t \geq 0}\) is an \(r\)-dimensional Brownian motion. They introduce an implicit time discretization \(u^m\) and space-time explicit and implicit discretization schemes \(u_n^m\) and \(u^{n,m}\) of \(u\). Then, the convergence of these approximations to the solution of the equation is proved. As a by-product of the identification of the weak limit of the explicit and implicit space-time discretization schemes, the authors obtain the existence of a solution to the initial equation.
Recommendations
- On the discretization in time of parabolic stochastic partial differential equations
- Rate of convergence of implicit approximations for stochastic evolution equations
- Stochastic evolution equations in Hilbert spaces
- Approximation for semilinear stochastic evolution equations
- Approximation by time discretization of special stochastic evolution equations
Cites work
- scientific article; zbMATH DE number 3864229 (Why is no real title available?)
- scientific article; zbMATH DE number 4211182 (Why is no real title available?)
- scientific article; zbMATH DE number 45061 (Why is no real title available?)
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
- On stochastic squations with respect to semimartingales III
- On stochastics equations with respect to semimartingales ii. itô formula in banach spaces
- Solutions of stochastic partial differential equations as extremals of convex functionals
- Stochastic evolution equations
- Stochastic partial differential equations and filtering of diffusion processes
Cited in
(73)- Rate of convergence of space time approximations for stochastic evolution equations
- Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
- Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations
- Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations
- Numerical analysis of semilinear stochastic evolution equations in Banach spaces
- Approximation for semilinear stochastic evolution equations
- Weak order for the discretization of the stochastic heat equation driven by impulsive noise
- Stochastic modelling of the heat and moisture transfer in a porous medium
- Discrete functional analysis tools for some evolution equations
- Convergence rate for Galerkin approximation of the stochastic Allen-Cahn equations on 2D torus
- Convergent numerical approximation of the stochastic total variation flow
- Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems
- On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
- Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs
- On finite difference schemes for partial integro-differential equations of Lévy type
- Time discrete approximation of weak solutions to stochastic equations of geophysical fluid dynamics and applications
- Solutions of stochastic partial differential equations as extremals of convex functionals
- Space semi-discretisations for a stochastic wave equation
- Convergence of tamed Euler schemes for a class of stochastic evolution equations
- Probabilistic weak solutions for nonlinear stochastic evolution problems involving pseudomonotone operators
- An averaged space-time discretization of the stochastic \(p\)-Laplace system
- Approximation by time discretization of special stochastic evolution equations
- Numerical solution of stochastic partial differential equations using a collocation method
- Analysis and approximation of stochastic nerve axon equations
- On time regularity of stochastic evolution equations with monotone coefficients
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- On the backward Euler approximation of the stochastic Allen-Cahn equation
- Localization errors in solving stochastic partial differential equations in the whole space
- Weak order for the discretization of the stochastic heat equation
- Solving parabolic stochastic partial differential equations via averaging over characteristics
- Weak approximation of stochastic partial differential equations: the nonlinear case
- Finite difference schemes for linear stochastic integro-differential equations
- scientific article; zbMATH DE number 4211463 (Why is no real title available?)
- On stochastic evolution equations with non-Lipschitz coefficients
- On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
- Itô's formula for linear fractional PDEs
- Weak convergence of finite element method for stochastic elastic equation driven by additive noise
- scientific article; zbMATH DE number 4005572 (Why is no real title available?)
- Harnack inequality and applications for stochastic evolution equations with monotone drifts
- Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
- Strong convergence of a fully discrete finite element approximation of the stochastic Cahn-Hilliard equation
- Space-Time Approximation of Stochastic $p$-Laplace-Type Systems
- An alternative proof of well-posedness of stochastic evolution equations in the variational setting
- Design and convergence analysis of numerical methods for stochastic evolution equations with Leray-Lions operator
- Strong convergence of a fully discrete finite element method for a class of semilinear stochastic partial differential equations with multiplicative noise
- Convergence of an operator splitting scheme for abstract stochastic evolution equations
- NEWTON S METHOD FOR STOCHASTIC FUNCTIONAL EVOLUTION EQUATIONS IN HILBERT SPACES
- Nonlinear stochastic evolution equations of second order with damping
- scientific article; zbMATH DE number 279663 (Why is no real title available?)
- Rate of convergence of implicit approximations for stochastic evolution equations
- Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition
- Efficient simulation of nonlinear parabolic SPDEs with additive noise
- Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients
- On the discretization in time of parabolic stochastic partial differential equations
- The optimal discretization of stochastic differential equations
- Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise
- On Temporal Regularity of Strong Solutions to Stochastic \(p\)-Laplace Systems
- Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
- The numerical approximation of stochastic partial differential equations
- Temporal approximation of stochastic evolution equations with irregular nonlinearities
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
- A class of space-time discretizations for the stochastic \(p\)-Stokes system
- Discrete stochastic maximal regularity
- Convergence rates for a finite volume scheme of the stochastic heat equation
- A limit order book model for high frequency trading with rough volatility
- Stochastic transport with Lévy noise fully discrete numerical approximation
- Fully discretization of the stochastic magnetohydrodynamics system with multiplicative noise
- Weak approximation of the stochastic wave equation
- Discretizations of stochastic evolution equations in variational approach driven by jump-diffusion
- Convergence and error analysis for numerical approximations of stochastic Leray-Lions equations
- Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise
- Freidlin-Wentzell's large deviations for stochastic evolution equations
- Large deviations for stochastic evolution equations with small multiplicative noise
This page was built for publication: On discretization schemes for stochastic evolution equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1775512)
