Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

DOI10.1007/S10543-017-0684-7MaRDI QIDQ1689310zbMATH OpenOpenAlexWikidataFDO

Authors Annika Lang, Andreas Petersson, Andreas Thalhammer

Publication date 12 January 2018

Published in BIT (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1702.07700

zbMATH Keywords

asymptotic mean-square stabilityEuler-Maruyama schemefinite element methodsGalerkin methodslinear stochastic partial differential equationsLévy processesMilstein schemenumerical approximations of stochastic differential equationsrational approximationsspectral methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: The (asymptotic) behaviour of the second moment of solutions to stochastic differential equations is treated in mean-square stability analysis. This property is discussed for approximations of infinite-dimensional stochastic differential equations and necessary and sufficient conditions ensuring mean-square stability are given. They are applied to typical discretization schemes such as combinations of spectral Galerkin, finite element, Euler-Maruyama, Milstein, Crank-Nicolson, and forward and backward Euler methods. Furthermore, results on the relation to stability properties of corresponding analytical solutions are provided. Simulations of the stochastic heat equation illustrate the theory.

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Cited in

(9)

• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• Stochastic heat equation: numerical positivity and almost surely exponential stability
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• Improved error estimates for a modified exponential Euler method for the semilinear stochastic heat equation with rough initial data
• Long time stability and numerical stability of implicit schemes for stochastic heat equations

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