Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs

DOI10.1016/J.JCO.2019.101424zbMATH Open1476.65265arXiv1709.09370OpenAlexW2969176291MaRDI QIDQ2283124FDOQ2283124

Authors: Charles-Edouard Bréhier 

Publication date: 30 December 2019

Published in: Journal of Complexity (Search for Journal in Brave)

Abstract: This article investigates the role of the regularity of the test function when considering the weak error for standard discretizations of SPDEs of the form $dX(t)=AX(t)dt+F(X(t))dt+dW(t)$, driven by space-time white noise. In previous results, test functions are assumed (at least) of class $mathcal{C}^2$ with bounded derivatives, and the weak order is twice the strong order. We prove, in the case $F=0$, that to quantify the speed of convergence, it is crucial to control some derivatives of the test functions, even when the noise is non-degenerate. First, the supremum of the weak error over all bounded continuous functions, which are bounded by $1$, does not converge to $0$ as the discretization parameter vanishes. Second, when considering bounded Lipschitz test functions, the weak order of convergence is divided by $2$, i.e. it is not better than the strong order. This is in contrast with the finite dimensional case, where the Euler-Maruyama discretization of elliptic SDEs $dY(t)=f(Y(t))dt+d{B}_t$ has weak order of convergence $1$ even for bounded continuous functions.

Full work available at URL: https://arxiv.org/abs/1709.09370

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zbMATH Keywords

rate of convergenceimplicit Euler schemestochastic partial differential equationspectral Galerkin methodweak error

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) White noise theory (60H40) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cited In (5)

• Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs
• Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems
• On a Monte Carlo scheme for some linear stochastic partial differential equations
• Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme
• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise

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