Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations

DOI10.1016/J.JDE.2017.05.002zbMATH Open1371.60122arXiv1609.08744OpenAlexW2963352008MaRDI QIDQ2013151FDOQ2013151

Jianbo Cui, Zhihui Liu, Jialin Hong

Publication date: 3 August 2017

Published in: Journal of Differential Equations (Search for Journal in Brave)

Abstract: In this paper, we derive a strong convergence rate of spatial finite difference approximations for both focusing and defocusing stochastic cubic Schr"odinger equations driven by a multiplicative $Q$-Wiener process. Beyond the uniform boundedness of moments for high order derivatives of the exact solution, the key requirement of our approach is the exponential integrability of both the exact and numerical solutions. By constructing and analyzing a Lyapunov functional and its discrete correspondence, we derive the uniform boundedness of moments for high order derivatives of the exact solution and the first order derivative of the numerical solution, which immediately yields the well-posedness of both the continuous and discrete problems. The latter exponential integrability is obtained through a variant of a criterion given by [Cox, Hutzenthaler and Jentzen, arXiv:1309.5595]. As a by-product of this exponential integrability, we prove that the exact and numerical solutions depend continuously on the initial data and obtain a large deviation-type result on the dependence of the noise with first order strong convergence rate.

Full work available at URL: https://arxiv.org/abs/1609.08744

zbMATH Keywords

continuous dependenceexponential integrabilitystrong convergence ratecentral difference schemestochastic Schrödinger equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited In (30)

• \(L^p\)-convergence rate of backward Euler schemes for monotone SDEs
• Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation
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