Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations

DOI10.1007/S00033-018-1060-4MaRDI QIDQ667753zbMATH OpenOpenAlexFDO

Authors Philipp Harms, Marvin S. Müller

Publication date 1 March 2019

Published in ZAMP. Zeitschrift für angewandte Mathematik und Physik (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.01273

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We establish weak convergence rates for noise discretizations of a wide class of stochastic evolution equations with non-regularizing semigroups and additive or multiplicative noise. This class covers the nonlinear stochastic wave, HJMM, stochastic Schr"odinger and linearized stochastic Korteweg-de Vries equation. For several important equations, including the stochastic wave equation, previous methods give only suboptimal rates, whereas our rates are essentially sharp.

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Cited in

(9)

• Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations
• Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
• Hetero-Bäcklund transformation, bilinear forms and \(N\) solitons for a generalized three-coupled Korteweg-de Vries system
• Blow-up time estimate for porous-medium problems with gradient terms under Robin boundary conditions
• Numerical approximation and simulation of the stochastic wave equation on the sphere
• Weak and strong order of convergence of a semidiscrete scheme for the stochastic nonlinear Schrödinger equation
• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
• Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise
• Temporal approximation of stochastic evolution equations with irregular nonlinearities

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