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

DOI10.1007/S11075-020-01041-1MaRDI QIDQ2048833zbMATH OpenOpenAlexFDO

Authors Aurelien Noupelah, Antoine Tambue

Publication date 24 August 2021

Published in Numerical Algorithms (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1912.12751

zbMATH Keywords

fractional Brownian motionfinite element methodfinite element methodsPoisson random measurestochastic parabolic partial differential equationserrors estimatetimestepping methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Finite element methods applied to problems in solid mechanics (74S05) Stochastic and other probabilistic methods applied to problems in solid mechanics (74S60)

Abstract: In this paper, we study the numerical approximation of a general second order semilinear stochastic partial differential equation (SPDE) driven by a additive fractional Brownian motion (fBm) with Hurst parameter $H>frac12$ and Poisson random measure, more realistic in modelling real world phenomena. To the best of our knowledge, numerical schemes for such SPDE have been lacked in scientific literature. The approximation is done with the standard finite element method in space and three Euler-type timestepping methods in time, more precisely linear implicit method, exponential integrator and exponential Rosenbrock scheme are used for time discretisation. In contract to the current literature in the field for SPDE driven only by fBm, our linear operator is not necessary self-adjoint and optimal strong convergence rates have been achieved for SPDE driven only by fBm and SPDE driven by fBm and Poisson measure. The results examine how the convergence orders depend on the regularity of the noise and the initial data and reveal that the full discretization attains an optimal convergence rate of order $mathcalO(h^2+Deltat)$ for the exponential integrator and implicit schemes (linear operator $A$ self-adjoint for implicit). Numerical experiments are provided to illustrate our theoretical results for the case of SPDE driven with fBm noise.

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Cited in

(6)

• Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise
• Regularity analysis for SVEEs with additive fBms and strong error estimates for the numerical approximations
• Strong convergence rates of the linear implicit Euler method for the finite element discretization of SPDEs with additive noise
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• Sharp mean-square regularity results for SPDEs with fractional noise and optimal convergence rates for the numerical approximations
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise

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