Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
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Publication:4902865
finite differencesFourier analysisimplicit time-stepping schemeslocal mesh refinementstochastic partial differential equations
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
Abstract: In this article, we extend a Milstein finite difference scheme introduced in [Giles & Reisinger(2011)] for a certain linear stochastic partial differential equation (SPDE), to semi- and fully implicit timestepping as introduced by [Szpruch(2010)] for SDEs. We combine standard finite difference Fourier analysis for PDEs with the linear stability analysis in [Buckwar & Sickenberger(2011)] for SDEs, to analyse the stability and accuracy. The results show that Crank-Nicolson timestepping for the principal part of the drift with a partially implicit but negatively weighted double It^o integral gives unconditional stability over all parameter values, and converges with the expected order in the mean-square sense. This opens up the possibility of local mesh refinement in the spatial domain, and we show experimentally that this can be beneficial in the presence of reduced regularity at boundaries.
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Cited in
(6)- A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
- Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations
- A finite difference method for stochastic nonlinear second-order boundary-value problems driven by additive noisese
- An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises
- Asymptotic expansions of evolution equations with fast volatility
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