Influences of Numerical Discretizations on Hitting Probabilities for Linear Stochastic Parabolic System
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Publication:6365083
DOI10.1016/J.JCO.2021.101634arXiv2104.05466MaRDI QIDQ6365083FDOQ6365083
Derui Sheng, Jialin Hong, Chuchu Chen
Publication date: 12 April 2021
Abstract: This paper investigates the influences of standard numerical discretizations on hitting probabilities for linear stochastic parabolic system driven by space-time white noises. We establish lower and upper bounds for hitting probabilities of the associated numerical solutions of both temporal and spatial semi-discretizations in terms of Bessel-Riesz capacity and Hausdorff measure, respectively. Moreover, the critical dimensions of both temporal and spatial semi-discretizations turn out to be half of those of the exact solution. This reveals that for a large class of Borel sets , the probability of the event that the paths of the numerical solution hit cannot converge to that of the exact solution.
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic potential theory (60J45)
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