Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations

DOI10.1137/12086412XMaRDI QIDQ4907539zbMATH OpenOpenAlexFDO

Authors Eric J. Hall

Publication date 4 February 2013

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.5769

zbMATH Keywords

Richardson extrapolationlinear parabolic stochastic partial differential equationshigh-order spatial accuracyspace-time discretization scheme

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) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Abstract: The present article investigates the convergence of a class of space-time discretization schemes for the Cauchy problem for linear parabolic stochastic partial differential equations (SPDEs) defined on the whole space. Sufficient conditions are given for accelerating the convergence of the scheme with respect to the spatial approximation to higher order accuracy by an application of Richardson's method. This work extends the results of Gy"ongy and Krylov [SIAM J. Math. Anal., 42 (2010), pp. 2275--2296] to schemes that discretize in time as well as space.

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Cited in

(10)

• Accelerated finite elements schemes for parabolic stochastic partial differential equations
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• On stochastic finite difference schemes
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• The time dependent propensity function for acceleration of spatial stochastic simulation of reaction-diffusion systems
• Localization errors in solving stochastic partial differential equations in the whole space
• Finite difference schemes for linear stochastic integro-differential equations
• Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space
• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• Accelerated numerical schemes for PDEs and SPDEs

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