Approximating Stochastic Evolution Equations with Additive White and Rough Noises

DOI10.1137/16M1056122zbMATH Open1373.60124arXiv1601.02085OpenAlexW3105105116MaRDI QIDQ4978201FDOQ4978201

Authors: Yanzhao Cao, Jialin Hong, Zhihui Liu 

Publication date: 18 August 2017

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Abstract: In this paper, we analyze Galerkin approximations for stochastic evolution equations driven by an additive Gaussian noise which is temporally white and spatially fractional with Hurst index less than or equal to $1/2$. First we regularize the noise by the Wong-Zakai approximation and obtain its optimal order of convergence. Then we apply the Galerkin method to discretize the stochastic evolution equations with regularized noises. Optimal error estimates are obtained for the Galerkin approximations. In particular, our error estimates remove an infinitesimal factor which appears in the error estimates of various numerical methods for stochastic evolution equations in existing literatures.

Full work available at URL: https://arxiv.org/abs/1601.02085

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zbMATH Keywords

fractional Brownian motionGalerkin approximationstochastic evolution equationWong-Zakai approximation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cited In (29)

• A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model
• Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions
• Spatial approximation of stochastic convolutions
• Optimal Hölder continuity and hitting probabilities for SPDEs with rough fractional noises
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
• Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations
• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
• Hölder continuity for parabolic Anderson equation with non-Gaussian noise
• An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation
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• Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
• Numerical Approximation of Optimal Convergence for Fractional Elliptic Equations with Additive Fractional Gaussian Noise
• A Unified Convergence Analysis for the Fractional Diffusion Equation Driven by Fractional Gaussian Noise with Hurst Index $H\in(0,1)$
• Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
• Conforming finite element methods for the stochastic Cahn-Hilliard-Cook equation
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• Analysis of a Splitting Scheme for Damped Stochastic Nonlinear Schrödinger Equation with Multiplicative Noise
• Well-posedness and optimal regularity of stochastic evolution equations with multiplicative noises
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