Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise

DOI10.1016/J.AMC.2018.09.073zbMATH Open1429.65260arXiv1710.01386OpenAlexW2963914755WikidataQ129021972 ScholiaQ129021972MaRDI QIDQ2008392FDOQ2008392

Authors: Antoine Tambue, Jean Daniel Mukam 

Publication date: 25 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise under more relaxed conditions. The SPDE is discretized in space by the finite element method and in time by the linear implicit Euler method. This extends the current results in the literature to not necessary self-adjoint operator with more general boundary conditions. As a consequence key part of the proof does not rely on the spectral decomposition of the linear operator. We achieve optimal convergence orders which depend on the regularity of the noise and the initial data. In particular, for multiplicative noise we achieve optimal order $mathcalO(h^2+Delta{t}^{1/2})$ and for additive noise, we achieve optimal order $mathcalO(h^2+Deltat)$. In contrast to current work in the literature, where the optimal convergence orders are achieved for additive noise by incorporating further regularity assumptions on the nonlinear drift function, our optimal convergence orders are obtained under only the standard Lipschitz condition of the nonlinear drift term. Numerical experiments to sustain our theoretical results are provided.

Full work available at URL: https://arxiv.org/abs/1710.01386

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zbMATH Keywords

stochastic partial differential equationsfinite element methodstrong convergencelinear implicit Euler methodmultiplicative and additive noise

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) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Cited In (19)

• Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
• Phase shift, oscillation and collision of the anti-dark solitons for the \((3+1)\)-dimensional coupled nonlinear Schrödinger equation in an optical fiber communication system
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise
• Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure
• Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients
• A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
• Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise
• Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise
• Strong convergence of a fractional exponential integrator scheme for finite element discretization of time-fractional SPDE driven by fractional and standard Brownian motions
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Strong convergence rates of the linear implicit Euler method for the finite element discretization of SPDEs with additive noise
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• Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise
• The inverse source problem of Cherenkov radiation model
• Higher order stable schemes for stochastic convection-reaction-diffusion equations driven by additive Wiener noise

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