On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations

DOI10.1007/S11118-015-9510-5zbMATH Open1337.60160arXiv1501.05816OpenAlexW2224576969MaRDI QIDQ283378FDOQ283378

Authors: Petru A. Cioica, Stephan Dahlke, Nicolas Döhring, Ulrich Friedrich, Stefan Kinzel, Felix Lindner, Thorsten Raasch, Klaus Ritter, R. L. Schilling 

Publication date: 13 May 2016

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: This paper is concerned with the adaptive numerical treatment of stochastic partial differential equations. Our method of choice is Rothe's method. We use the implicit Euler scheme for the time discretization. Consequently, in each step, an elliptic equation with random right-hand side has to be solved. In practice, this cannot be performed exactly, so that efficient numerical methods are needed. Well-established adaptive wavelet or finite-element schemes, which are guaranteed to converge with optimal order, suggest themselves. We investigate how the errors corresponding to the adaptive spatial discretization propagate in time, and we show how in each time step the tolerances have to be chosen such that the resulting perturbed discretization scheme realizes the same order of convergence as the one with exact evaluations of the elliptic subproblems.

Full work available at URL: https://arxiv.org/abs/1501.05816

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zbMATH Keywords

stochastic partial differential equationsconvergence analysisEuler schemestochastic evolution equationsadaptive numerical algorithmRothe's method

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) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

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Cited In (5)

• Convergence analysis of spatially adaptive Rothe methods
• A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
• Convergence of the Euler scheme for stochastic functional partial differential equations
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
• An efficient solution for stochastic fractional partial differential equations with additive noise by a meshless method

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