Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise
abstract stochastic Cauchy problemadditive noiseCook equationerror estimatefinite elementHilbert spacelinear stochastic evolution equationsstochastic Cahn-Hilliard equationstochastic heat equationstochastic wave equationsstrong convergencestrongly continuous semigroupweak error representation formulaWiener process
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
The authors consider the abstract stochastic Cauchy problem \[ dX(t)+AX(t)dt=BdW(t),\;t>0;\;X(0)=X_{0}, \] in a Hilbert space \(H\;(X\in H)\) with a \(U\)-valued Wiener process \(W(t),\;U\) is a Hilbert space, \(-A\) is the generator of a strongly continuous semigroup. Let a finite element approximation \(X_{h}(t)\) have strong convergence of an order \(\beta:\) \[ (E\parallel X_{h}(t)-X(t)\parallel^{2})^{1/2}=O(h^{\beta}). \] The authors consider the weak error at \(T>0:\) \[ e_{h}(T):=E(G(X_{h}(T)))-E(G(X(T))), \] where \(G\) is a test function. They prove that under appropriate conditions \[ e_{h}(T)=O(h^{2\beta}\mid\log h\mid). \] The results are applied to the stochastic heat, linearized Cahn-Hilliard, and wave equations.
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