Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise

DOI10.1007/s00211-013-0538-4zbMath1284.65009arXiv1201.4465OpenAlexW2095273359MaRDI QIDQ373224

Sonja Cox, J. M. A. M. van Neerven

Publication date: 22 October 2013

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.4465

zbMATH Keywords

Hilbert spaceCauchy problemsimplicit Euler schemeoptimal convergence ratecylindrical Brownian motionsemilinear parabolic stochastic partial differential equationUMD Banach

Mathematics Subject Classification ID

Brownian motion (60J65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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) Semilinear parabolic equations (35K58)

Related Items (16)

On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations ⋮ Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition ⋮ An Exponential Wagner--Platen Type Scheme for SPDEs ⋮ Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes ⋮ Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients ⋮ On the Backward Euler Approximation of the Stochastic Allen-Cahn Equation ⋮ Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise ⋮ On the convergence rate of the splitting-up scheme for rough partial differential equations ⋮ Deep learning approximations for non-local nonlinear PDEs with Neumann boundary conditions ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ A perturbation result for semi-linear stochastic differential equations in UMD Banach spaces ⋮ Well-posedness and optimal regularity of stochastic evolution equations with multiplicative noises ⋮ Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations ⋮ Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients ⋮ A mild Itô formula for SPDEs ⋮ Forward integration, convergence and non-adapted pointwise multipliers

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