Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients

DOI10.1214/17-AAP1352zbMath1477.65020arXiv1408.1108WikidataQ128538168 ScholiaQ128538168MaRDI QIDQ1737953

Daniel Conus, Arnulf Jentzen, Ryan Kurniawan

Publication date: 24 April 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.1108

zbMATH Keywords

stochastic partial differential equationGalerkin approximationSPDEweak convergence ratemild Itô formula

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)

Related Items (23)

Numerical approximations of coupled forward–backward SPDEs ⋮ Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise ⋮ Weak convergence of the L1 scheme for a stochastic subdiffusion problem driven by fractionally integrated additive noise ⋮ On the differentiability of solutions of stochastic evolution equations with respect to their initial values ⋮ On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients ⋮ Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp> ⋮ Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation ⋮ A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations ⋮ Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations ⋮ Lower and upper bounds for strong approximation errors for numerical approximations of stochastic heat equations ⋮ Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces ⋮ Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients ⋮ Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE ⋮ Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values ⋮ Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients ⋮ Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise ⋮ Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients ⋮ Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs ⋮ Weak Convergence of Finite Element Approximations of Linear Stochastic Evolution Equations with Additive Lévy Noise ⋮ Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus ⋮ On a Monte Carlo scheme for some linear stochastic partial differential equations ⋮ Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient ⋮ A mild Itô formula for SPDEs

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