Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise

DOI10.1137/15M1009792zbMATH Open1335.60131DBLPjournals/juq/Kovacs0S15arXiv1411.1051OpenAlexW3021379411WikidataQ60580276 ScholiaQ60580276MaRDI QIDQ2801320FDOQ2801320

R. L. Schilling, Mihály Kovács, Felix Lindner

Publication date: 6 April 2016

Published in: SIAM ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: We present an abstract framework to study weak convergence of numerical approximations of linear stochastic partial differential equations driven by additive L'evy noise. We first derive a representation formula for the error which we then apply to study space-time discretizations of the stochastic heat equation, a Volterra-type integro-differential equation, and the wave equation as examples. For twice continuously differentiable test functions with bounded second derivative (with an additional condition on the second derivative for the wave equation) the weak rate of convergence is found to be twice the strong rate. The results extend earlier work by two of the authors as we consider general square-integrable infinite-dimensional L'evy processes and do not require boundedness of the test functions and their first derivative. Furthermore, the present framework is applicable to both hyperbolic and parabolic equations, and even to stochastic Volterra integro-differential equations.

Full work available at URL: https://arxiv.org/abs/1411.1051

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zbMATH Keywords

stochastic partial differential equationsweak convergenceerror estimatesPoisson random measurefinite element approximationsbackward Kolmogorov equationstochastic Volterra integro-differential equationsadditive Lévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Random measures (60G57) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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Cited In (11)

• Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations
• Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
• Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise
• Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise
• Lévy-driven Volterra equations in space and time
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
• Weak convergence of fully discrete finite element approximations of semilinear hyperbolic SPDE with additive noise
• Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
• Global solutions to stochastic Volterra equations driven by Lévy noise
• Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise

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