Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative

DOI10.1080/00207160.2012.718762zbMATH Open1258.35215arXiv1208.0475OpenAlexW1989197292MaRDI QIDQ4902865FDOQ4902865

C. Reisinger

Publication date: 18 January 2013

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

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.

Full work available at URL: https://arxiv.org/abs/1208.0475

zbMATH Keywords

stochastic partial differential equationsFourier analysisfinite differenceslocal mesh refinementimplicit time-stepping schemes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) 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)

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Cited In (5)

• A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
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• An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises
• Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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