A splitting algorithm for stochastic partial differential equations driven by linear multiplicative noise

DOI10.1007/S40072-017-0094-5MaRDI QIDQ1706667zbMATH OpenOpenAlexFDO

Authors Viorel Barbu, Michael Röckner

Publication date 28 March 2018

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.01816

zbMATH Keywords

maximal monotone operatorparabolic stochastic equationstochastic process

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Monotone operators and generalizations (47H05) Equations involving nonlinear operators (general) (47J05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We study the convergence of a Douglas-Rachford type splitting algorithm for the infinite dimensional stochastic differential equation ${\displaystyle }$dX+A(t)(X)dt=X,dWmbox{ in }(0,T); X(0)=x,${\displaystyle }$ where $A(t):Vo{V}^{\prime }$ is a nonlinear, monotone, coercive and demicontinuous operator with sublinear growth and $V$ is a real Hilbert space with the dual $V^{\prime }$. $V$ is densely and continuously embedded in the Hilbert space $H$ and $W$ is an $H$-valued Wiener process. The general case of a maximal monotone operators $A(t):HoH$ is also investigated.

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Cites work

• An operatorial approach to stochastic partial differential equations driven by linear multiplicative noise
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(11)

• On the splitting-up method and stochastic partial differential equations
• A splitting/polynomial chaos expansion approach for stochastic evolution equations
• Approximation of backward stochastic partial differential equations by a splitting-up method
• Theoretical study and numerical simulation of pattern formation in the deterministic and stochastic gray-Scott equations
• scientific article; zbMATH DE number 7234903 (Why is no real title available?)
• Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering
• Split S-ROCK methods for high-dimensional stochastic differential equations
• Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Optimal error estimates of the stochastic parabolic optimal control problem with integral state constraint
• Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise

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