Pathwise space approximations of semi-linear parabolic SPDEs with multiplicative noise

DOI10.1080/00207160.2012.737460MaRDI QIDQ4902858zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Sonja Cox, Erika Hausenblas

Publication date 18 January 2013

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.07419

zbMATH Keywords

stochastic partial differential equationsstochastic differential equationsperturbationspectral Galerkin methodfinite-element 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Abstract: We provide convergence rates for space approximations of semi-linear stochastic differential equations with multiplicative noise in a Hilbert space. The space approximations we consider are spectral Galerkin and finite elements, and the type of convergence we consider is strong and almost sure uniform convergence, i.e., pathwise convergence. The proofs are based on a previously published perturbation result for such equations.

Recommendations

• Higher order pathwise numerical approximations of SPDEs with additive noise
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients

Cites work

• Approximation for semilinear stochastic evolution equations
• Caractérisation de quelques espaces d'interpolation
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• Higher order pathwise numerical approximations of SPDEs with additive noise
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• On stochastic convolution in banach spaces and applications
• On the discretization in time of parabolic stochastic partial differential equations
• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• Stochastic evolution equations in UMD Banach spaces
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• The numerical approximation of stochastic partial differential equations
• The pathwise convergence of approximation schemes for stochastic differential equations

Cited in

(8)

• Upper bounds on the rate of convergence of truncated stochastic infinite-dimensional differential systems with \(H\)-regular noise
• A perturbation result for semi-linear stochastic differential equations in UMD Banach spaces
• Rate of convergence of space time approximations for stochastic evolution equations
• Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach
• SPDE bridges with observation noise and their spatial approximation

This page was built for publication: Pathwise space approximations of semi-linear parabolic SPDEs with multiplicative noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4902858)