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

DOI10.1007/S40072-014-0037-3MaRDI QIDQ487684zbMATH OpenOpenAlexFDO

Authors Raphael Kruse

Publication date 23 January 2015

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

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

zbMATH Keywords

bistabilityconsistencyGalerkin finite element methodMilstein schemesemilinear SPDEspatio-temporal discretizationSpijker normstrong convergencetwo-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)

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

(22)

• A simplified Milstein scheme for SPDEs with multiplicative noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
• A Milstein scheme for SPDEs
• The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations
• An exponential Wagner-Platen type scheme for SPDEs
• Type II singular perturbation approximation for linear systems with Lévy noise
• SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
• scientific article; zbMATH DE number 7318972 (Why is no real title available?)
• 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
• 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
• A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• Extended Milstein Approximation to the Stochastic Allen-Cahn Equation with Random Diffusion Coefficient Field and Multiplicative Noise
• 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
• A reliable computational scheme for stochastic unsteady mixed convection flow of Casson nanofluid
• An efficient tamed Milstein scheme for the stochastic Allen-Cahn equation with multiplicative noise
• An efficient reduced-order approximation for the stochastic Allen-Cahn equation
• Optimal and computational analysis under the noisy environment in biological processes: the stochastic Schnakenberg model
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• An efficient numerical method to the stochastic fractional heat equation with random coefficients and fractionally integrated multiplicative noise

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