Weak order for the discretization of the stochastic heat equation driven by impulsive noise
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Abstract: Considering a linear parabolic stochastic partial differential equation driven by impulsive space time noise, dX_t+AX_t dt= Q^{1/2}dZ_t, X_0=x_0in H, tin [0,T], we approximate the distribution of X_T. (Z_t)_{tin[0,T]} is an impulsive cylindrical process and Q describes the spatial covariance structure of the noise; Tr(A^{-alpha})<infty for some alpha>0 and A^�eta Q is bounded for some �etain(alpha-1,alpha]. A discretization (X_h^n)_{nin{0,1,...,N}} is defined via the finite element method in space (parameter h>0) and a heta-method in time (parameter Delta t=T/N). For phiin C^2_b(H;R) we show an integral representation for the error |Ephi(X^N_h)-Ephi(X_T)| and prove that |Ephi(X^N_h)-Ephi(X_T)|=O(h^{2gamma}+(Delta t)^{gamma}) where gamma<1-alpha+�eta.
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(19)- Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
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- Numerical approximation of stochastic evolution equations: convergence in scale of Hilbert spaces
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- Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients
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- Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
- Local search methods for the solution of implicit inverse problems
- Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise. II: Fully discrete schemes
- Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
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- Stochastic heat equation and martingale differences
- A mild Itô formula for SPDEs
- Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
- Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise
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