Convergence of an operator splitting scheme for abstract stochastic evolution equations

DOI10.1007/978-3-030-02487-1_9zbMATH Open1445.65004arXiv1901.06371OpenAlexW2910198928MaRDI QIDQ5114946FDOQ5114946

Authors: Joshua L. Padgett, Qin Sheng 

Publication date: 29 June 2020

Published in: Advances in Mechanics and Mathematics (Search for Journal in Brave)

Abstract: In this paper we study the convergence of a Lie-Trotter operator splitting for stochastic semi-linear evolution equations in a Hilbert space. The abstract Hilbert space setting allows for the consideration of convergence of the approximation for both the original and spatially discretized problems. It is known that the strong convergence of this scheme is classically of half-order, at best. We demonstrate that this is in fact the optimal order of convergence in the proposed setting, with the actual order being dependent upon the regularity of noise collected from applications.

Full work available at URL: https://arxiv.org/abs/1901.06371

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Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (13)

• A parallel type decomposition scheme for quasi-linear abstract hyperbolic equation
• Convergence rates of the splitting scheme for parabolic linear stochastic Cauchy problems
• Approximation of backward stochastic partial differential equations by a splitting-up method
• Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations
• Lie-Trotter splitting for the nonlinear stochastic Manakov system
• A randomized operator splitting scheme inspired by stochastic optimization methods
• Splitting integrators for linear Vlasov equations with stochastic perturbations
• Second-order semi-discretized schemes for solving stochastic quenching models on arbitrary spatial grids
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• An operator splitting approach for two-dimensional Kawarada problems
• Splitting schemes for FitzHugh-Nagumo stochastic partial differential equations
• A domain decomposition method for stochastic evolution equations
• Intrinsic properties of strongly continuous fractional semigroups in normed vector spaces

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