Weak Error Estimates for Trajectories of SPDEs Under Spectral Galerkin Discretization

DOI10.4208/jcm.1607-m2016-0539zbMath1413.65008arXiv1602.04057OpenAlexW2964150090WikidataQ56894042 ScholiaQ56894042MaRDI QIDQ4688169

Charles-Edouard Bréhier, Andrew M. Stuart, Martin Hairer

Publication date: 22 October 2018

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

Full work available at URL: https://arxiv.org/abs/1602.04057

zbMATH Keywords

stochastic partial differential equationsweak approximationspectral Galerkin discretization

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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Numerical approximation and simulation of the stochastic wave equation on the sphere ⋮ Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp> ⋮ A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations ⋮ A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates ⋮ Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance ⋮ Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs ⋮ On a Monte Carlo scheme for some linear stochastic partial differential equations ⋮ Numerical approximation of stochastic time-fractional diffusion

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