Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE

DOI10.1007/S40072-015-0065-7zbMATH Open1357.60063arXiv1312.5893OpenAlexW2141195945MaRDI QIDQ507016FDOQ507016

Raphael Kruse, Stig Larsson, Adam Andersson

Publication date: 3 February 2017

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: We introduce a new family of refined Sobolev-Malliavin spaces that capture the integrability in time of the Malliavin derivative. We consider duality in these spaces and derive a Burkholder type inequality in a dual norm. The theory we develop allows us to prove weak convergence with essentially optimal rate for numerical approximations in space and time of semilinear parabolic stochastic evolution equations driven by Gaussian additive noise. In particular, we combine a standard Galerkin finite element method with backward Euler timestepping. The method of proof does not rely on the use of the Kolmogorov equation or the It={o} formula and is therefore non-Markovian in nature. Test functions satisfying polynomial growth and mild smoothness assumptions are allowed, meaning in particular that we prove convergence of arbitrary moments with essentially optimal rate.

Full work available at URL: https://arxiv.org/abs/1312.5893

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zbMATH Keywords

Malliavin calculusstochastic partial differential equationsweak convergencedualityfinite element methodbackward Euler methodconvergence of momentsspatio-temporal discretizationSobolev-Malliavin spaces

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cited In (32)

• Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
• Numerical approximation of stochastic time-fractional diffusion
• Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• Localized Orthogonal Decomposition for a Multiscale Parabolic Stochastic Partial Differential Equation
• Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• Non-perturbative approach to the Bourgain-Spencer conjecture in stochastic homogenization
• Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
• Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients
• Weak convergence of the L1 scheme for a stochastic subdiffusion problem driven by fractionally integrated additive noise
• Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
• Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
• Weak approximations of stochastic partial differential equations with fractional noise
• A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
• Regularity analysis for SVEEs with additive fBms and strong error estimates for the numerical approximations
• Numerical approximation and simulation of the stochastic wave equation on the sphere
• Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient
• Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs
• Approximation and duality problems of refracted processes
• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
• Weak convergence of fully discrete finite element approximations of semilinear hyperbolic SPDE with additive noise
• A Fully Parallelizable Space-Time Multilevel Monte Carlo Method for Stochastic Differential Equations with Additive Noise
• Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
• A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations
• Infinite-dimensional Lie algebras, representations, Hermitian duality and the operators of stochastic calculus
• Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
• Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise
• Crystals, proteins, stability and isoperimetry
• Combining Space-Time Multigrid Techniques with Multilevel Monte Carlo Methods for SDEs
• SPDE bridges with observation noise and their spatial approximation

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