Optimal rate of convergence for stochastic Burgers-type equations

DOI10.1007/S40072-015-0067-5MaRDI QIDQ2629201zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 5 July 2016

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1504.05134

zbMATH Keywords

convergence raterough pathsstochastic Burgers equationnumerical approximations

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)

Abstract: Recently, a solution theory for one-dimensional stochastic PDEs of Burgers type driven by space-time white noise was developed. In particular, it was shown that natural numerical approximations of these equations converge and that their convergence rate in the uniform topology is arbitrarily close to $frac16$. In the present article we improve this result in the case of additive noise by proving that the optimal rate of convergence is arbitrarily close to $frac12$.

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Cited in

(16)

• Higher order pathwise approximation for the stochastic Burgers' equation with additive noise
• Strong convergence of parabolic rate 1 of discretisations of stochastic Allen-Cahn-type equations
• Lattice approximation to the dynamical \(\Phi_{3}^{4}\) model
• Space-time discrete KPZ equation
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• Optimal rates of convergence to the singular Barenblatt profile for the fast diffusion equation
• Transient growth in stochastic Burgers flows
• Convergence rate for Galerkin approximation of the stochastic Allen-Cahn equations on 2D torus
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