Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus

DOI10.3934/dcds.2016.36.481zbMath1322.65021arXiv1408.0713OpenAlexW1886104495MaRDI QIDQ2515691

Xiao-Jie Wang

Publication date: 6 August 2015

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.0713

zbMATH Keywords

weak convergenceadditive noiseexponential Euler schemesemi-linear stochastic partial differential equations

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) Quasilinear parabolic equations (35K59)

Related Items (20)

Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations ⋮ Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise ⋮ Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise ⋮ Weak convergence of the L1 scheme for a stochastic subdiffusion problem driven by fractionally integrated additive noise ⋮ On the differentiability of solutions of stochastic evolution equations with respect to their initial values ⋮ Numerical ergodicity of two dimensional stochastic Navier-Stokes equations with Gaussian noise ⋮ Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation ⋮ A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations ⋮ Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise ⋮ Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces ⋮ Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients ⋮ Strong convergence analysis of the stochastic exponential Rosenbrock scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise ⋮ Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values ⋮ Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise ⋮ Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients ⋮ Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs ⋮ Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient ⋮ Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise ⋮ Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient ⋮ A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise

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