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.2018.09.073MaRDI QIDQ2008392zbMATH OpenOpenAlexWikidataFDO

Authors Antoine Tambue, Jean Daniel Mukam

Publication date 25 November 2019

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

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

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)

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.

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Cited in

(19)

• Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
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• 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
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