Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations

MaRDI QIDQ5204818zbMATH OpenFDO

Authors D. F. Kuznetsov

Publication date 5 December 2019

Full work available at URL https://arxiv.org/abs/1905.03724, http://diffjournal.spbu.ru/EN/numbers/2019.3/article.1.2.html

zbMATH Keywords

expansiongeneralized multiple Fourier seriesinfinite-dimensional Wiener processiterated stochastic Itô integralLegendre polynomialsmean-square approximationmultiple Fourier-Legendre seriesnon-commutative semilinear stochastic partial differential equation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(kinmathbbN)$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated Ito stochastic integrals with respect to the scalar standard Wiener processes based on generalized multiple Fourier series. The case of multiple Fourier-Legendre series is considered in details. The results of the article can be applied to construction of high-order strong numerical methods (with respect to the temporal discretization) for the approximation of mild solution for non-commutative semilinear stochastic partial differential equations with multiplicative trace class noise.

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Cited in

(10)

• Iterated stochastic integrals in infinite dimensions: approximation and error estimates
• The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
• Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
• scientific article; zbMATH DE number 7318972 (Why is no real title available?)
• SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
• scientific article; zbMATH DE number 7627965 (Why is no real title available?)
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
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• A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space. II

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