A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
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Galerkin finite element methodnoise approximationrandomized Runge-Kutta methodstochastic evolution equationsstrong convergence
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)
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 -norm, . 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.
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Cited in
(8)- Numerical analysis of semilinear stochastic evolution equations in Banach spaces
- The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations
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