Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE

DOI10.1007/S40072-014-0037-3zbMATH Open1316.60106arXiv1307.4120OpenAlexW3104132514MaRDI QIDQ487684FDOQ487684

Authors: Raphael Kruse 

Publication date: 23 January 2015

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: We present an abstract concept for the error analysis of numerical schemes for semilinear stochastic partial differential equations (SPDEs) and demonstrate its usefulness by proving the strong convergence of a Milstein-Galerkin finite element scheme. By a suitable generalization of the notion of bistability from Beyn & Kruse (DCDS B, 2010) to the semigroup framework in Hilbert spaces, our main result includes a two-sided error estimate of the spatio-temporal discretization. In an additional section we derive an analogous result for a Milstein-Galerkin finite element scheme with truncated noise.

Full work available at URL: https://arxiv.org/abs/1307.4120

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zbMATH Keywords

consistencyMilstein schemestrong convergencebistabilityGalerkin finite element methodsemilinear SPDEspatio-temporal discretizationSpijker normtwo-sided error estimate

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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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• A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
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• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• An Exponential Wagner--Platen Type Scheme for SPDEs
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• Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
• Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
• The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations
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• Type II Singular Perturbation Approximation for Linear Systems with Lévy Noise
• Extended Milstein Approximation to the Stochastic Allen-Cahn Equation with Random Diffusion Coefficient Field and Multiplicative Noise
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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