Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise

DOI10.1016/J.JMAA.2012.08.038zbMATH Open1260.65006OpenAlexW2023340798MaRDI QIDQ691820FDOQ691820

Authors: Xiaojie Wang, Siqing Gan 

Publication date: 4 December 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.08.038

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zbMATH Keywords

weak convergenceregularityerror estimationsemi-discretizationadditive noisesemilinear stochastic partial differential equationlinear implicit Euler method

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) First-order nonlinear hyperbolic equations (35L60) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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Cited In (34)

• Weak convergence of the Rosenbrock semi-implicit method for semilinear parabolic SPDEs driven by additive noise
• Total variation error bounds for the accelerated exponential Euler scheme approximation of parabolic semilinear SPDEs
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces
• Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise
• Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise
• Weak convergence for a spatial approximation of the nonlinear stochastic heat equation
• On the differentiability of solutions of stochastic evolution equations with respect to their initial values
• Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients
• Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients
• Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
• On a Monte Carlo scheme for some linear stochastic partial differential equations
• Weak convergence of a fully discrete approximation of a linear stochastic evolution equation with a positive-type memory term
• Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
• Weak approximations of stochastic partial differential equations with fractional noise
• Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise
• Strong convergence rates of the linear implicit Euler method for the finite element discretization of SPDEs with additive noise
• Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs
• Implicit Euler method for numerical solution of nonlinear stochastic partial differential equations with multiplicative trace class noise
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Title not available (Why is that?)
• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
• High order integrator for sampling the invariant distribution of a class of parabolic stochastic PDEs with additive space-time noise
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations
• Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
• Legendre spectral element method (LSEM) to simulate the two-dimensional system of nonlinear stochastic advection–reaction–diffusion models
• Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise
• Weak error analysis for semilinear stochastic Volterra equations with additive noise
• Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise

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