Weak approximation of stochastic partial differential equations: the nonlinear case

DOI10.1090/S0025-5718-2010-02395-6zbMath1217.65011arXiv0804.1304MaRDI QIDQ3081276

Arnaud Debussche

Publication date: 7 March 2011

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.1304

zbMATH Keywords

Malliavin calculusstochastic heat equationEuler schemeweak error estimatenonlinear stochastic partial differential equation

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) 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)

Related Items (48)

New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts ⋮ Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift ⋮ Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise ⋮ Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise. II: Fully discrete schemes ⋮ Weak convergence of the L1 scheme for a stochastic subdiffusion problem driven by fractionally integrated additive noise ⋮ High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise ⋮ On the differentiability of solutions of stochastic evolution equations with respect to their initial values ⋮ Weak convergence of finite element method for stochastic elastic equation driven by additive noise ⋮ Stationary in distributions of numerical solutions for stochastic partial differential equations with Markovian switching ⋮ Numerical analysis for neutral SPDEs driven by α-stable processes ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ Numerical approximation of nonlinear SPDE's ⋮ Weak order for the discretization of the stochastic heat equation driven by impulsive noise ⋮ Numerical conservation issues for the stochastic Korteweg-de Vries equation ⋮ 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 ⋮ An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation ⋮ Stability and convergence analysis of a fully discrete semi-implicit scheme for stochastic Allen-Cahn equations with multiplicative noise ⋮ Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise ⋮ Convergence of an Operator Splitting Scheme for Abstract Stochastic Evolution Equations ⋮ Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise ⋮ Stochastic heat equation and martingale differences ⋮ Cubature methods for stochastic (partial) differential equations in weighted spaces ⋮ Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces ⋮ An exponential integrator scheme for time discretization of nonlinear stochastic wave equation ⋮ Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients ⋮ Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE ⋮ Numerical Analysis of the Midpoint Scheme for the Generalized Benjamin-Bona-Mahony Equation with White Noise Dispersion ⋮ Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values ⋮ Approximating Rough Stochastic PDEs ⋮ Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations ⋮ Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise ⋮ Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise ⋮ Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients ⋮ Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise ⋮ Weak convergence for a spatial approximation of the nonlinear stochastic heat equation ⋮ 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 error analysis for semilinear stochastic Volterra equations with additive noise ⋮ Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus ⋮ On a Monte Carlo scheme for some linear stochastic partial differential equations ⋮ Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise ⋮ An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems ⋮ Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient ⋮ Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise ⋮ A mild Itô formula for SPDEs ⋮ A Milstein scheme for SPDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak and strong order of convergence of a semidiscrete scheme for the stochastic nonlinear Schrödinger equation
• Rate of convergence of space time approximations for stochastic evolution equations
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise
• A semi-discrete scheme for the stochastic nonlinear Schrödinger equation
• Finite element methods for parabolic stochastic PDE's
• On discretization schemes for stochastic evolution equations
• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• Approximation for semilinear stochastic evolution equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• Semidiscrete Galerkin approximation for a linear stochastic parabolic partial differential equation driven by an additive noise
• Weak order for the discretization of the stochastic heat equation
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Numerical methods for stochastic parabolic PDEs
• Time-discretised Galerkin approximations of parabolic stochastic PDE's
• Finite element and difference approximation of some linear stochastic partial differential equations
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Weak approximations. A Malliavin calculus approach
• A numerical scheme for stochastic PDEs with Gevrey regularity
• Weak approximation of stochastic differential delay equations
• Adaptive weak approximation of stochastic differential equations
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• On the discretization in time of parabolic stochastic partial differential equations
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Weak approximation of stochastic partial differential equations: the nonlinear case