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

DOI10.1016/J.JCO.2019.101424MaRDI QIDQ2283124zbMATHOpenAlexFDO

Authors Charles-Edouard Bréhier

Publication date 30 December 2019

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

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

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)

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.

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Cited in

(5)

• Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems
• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
• 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
• Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs

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