Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
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Malliavin calculusstochastic partial differential equationsweak convergencedualityfinite element methodbackward Euler methodconvergence of momentsspatio-temporal discretizationSobolev-Malliavin spaces
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)
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.
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