Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE
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Publication:487684
consistencyMilstein schemestrong convergencebistabilityGalerkin finite element methodsemilinear SPDEspatio-temporal discretizationSpijker normtwo-sided error estimate
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)
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.
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Cited in
(17)- Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
- A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
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- A reliable computational scheme for stochastic unsteady mixed convection flow of Casson nanofluid
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