Enhancing the order of the Milstein scheme for stochastic partial differential equations with commutative noise

DOI10.1137/16M1094087zbMATH Open1432.65161arXiv1509.08427OpenAlexW2886623333MaRDI QIDQ4581904FDOQ4581904

Authors: Claudine Leonhard, Andreas Rößler 

Publication date: 21 August 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Abstract: We consider a higher-order Milstein scheme for stochastic partial differential equations with trace class noise which fulfill a certain commutativity condition. A novel technique to generally improve the order of convergence of Taylor schemes for stochastic partial differential equations is introduced. The key tool is an efficient approximation of the Milstein term by particularly tailored nested derivative-free terms. For the resulting derivative-free Milstein scheme the computational cost is, in general, considerably reduced by some power. Further, a rigorous computational cost model is considered and the so called effective order of convergence is introduced which allows to directly compare various numerical schemes in terms of their efficiency. As the main result, we prove for a broad class of stochastic partial differential equations, including equations with operators that do not need to be pointwise multiplicative, that the effective order of convergence of the proposed derivative-free Milstein scheme is significantly higher than for the original Milstein scheme. In this case, the derivative-free Milstein scheme outperforms the Euler scheme as well as the original Milstein scheme due to the reduction of the computational cost. Finally, we present some numerical examples that confirm the theoretical results.

Full work available at URL: https://arxiv.org/abs/1509.08427

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zbMATH Keywords

stochastic differential equationMilstein schemenumerical approximationSPDEstochastic partial differential equation\(Q\)-Wiener processstochastic evolution equationhigher-order approximationSDEcommutative noisederivative-free approximation

Mathematics Subject Classification ID

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Cited In (8)

• A Milstein scheme for SPDEs
• Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
• A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
• Iterated stochastic integrals in infinite dimensions: approximation and error estimates
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
• An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition
• An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox

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