Adaptive time-stepping for Stochastic Partial Differential Equations with non-Lipschitz drift

Authors Stuart G. Campbell, Gabriel J. Lord

Publication date 21 December 2018

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 boundary value problems involving PDEs (65N12)

Abstract: We introduce an explicit, adaptive time-stepping scheme for the simulation of SPDEs with one-sided Lipschitz drift coefficients. Strong convergence rates are proven for the full space-time discretisation with multiplicative trace-class noise by considering the space and time discretisation separately. Adapting the time-step size to ensure strong convergence is shown numerically to produce more accurate solutions when compared to alternative fixed time-stepping strategies for the same computational effort.

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