A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations

DOI10.1090/MCOM/3421zbMATH Open1416.65031arXiv1801.08531OpenAlexW2784452888WikidataQ128583971 ScholiaQ128583971MaRDI QIDQ5226660FDOQ5226660

Authors: Raphael Kruse, Yue Wu 

Publication date: 1 August 2019

Published in: Mathematics of Computation (Search for Journal in Brave)

Abstract: In this paper the numerical solution of non-autonomous semilinear stochastic evolution equations driven by an additive Wiener noise is investigated. We introduce a novel fully discrete numerical approximation that combines a standard Galerkin finite element method with a randomized Runge-Kutta scheme. Convergence of the method to the mild solution is proven with respect to the $L^p$-norm, $pin[2,infty)$. We obtain the same temporal order of convergence as for Milstein-Galerkin finite element methods but without imposing any differentiability condition on the nonlinearity. The results are extended to also incorporate a spectral approximation of the driving Wiener process. An application to a stochastic partial differential equation is discussed and illustrated through a numerical experiment.

Full work available at URL: https://arxiv.org/abs/1801.08531

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zbMATH Keywords

strong convergenceGalerkin finite element methodstochastic evolution equationsrandomized Runge-Kutta methodnoise approximation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cited In (7)

• Numerical analysis of semilinear stochastic evolution equations in Banach spaces
• Space-Time Approximation of Stochastic $p$-Laplace-Type Systems
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
• The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations
• The pathwise numerical approximation of stationary solutions of semilinear stochastic evolution equations
• The approximate solution of one dimensional stochastic evolution equations by meshless methods

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