Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise

DOI10.1007/S00245-020-09744-6zbMATH Open1485.60061OpenAlexW3213457333WikidataQ114230605 ScholiaQ114230605MaRDI QIDQ832591FDOQ832591

Authors Ladislas Jacobe de Naurois, Arnulf Jentzen, Timo Welti

Publication date 25 March 2022

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.05168

zbMATH Keywords

weak convergencemultiplicative noisestochastic wave equationsspatial approximationhyperbolic Anderson model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Wave equation (35L05) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: Stochastic wave equations appear in several models for evolutionary processes subject to random forces, such as the motion of a strand of DNA in a liquid or heat flow around a ring. Semilinear stochastic wave equations can typically not be solved explicitly, but the literature contains a number of results which show that numerical approximation processes converge with suitable rates of convergence to solutions of such equations. In the case of approximation results for strong convergence rates, semilinear stochastic wave equations with both additive or multiplicative noise have been considered in the literature. In contrast, the existing approximation results for weak convergence rates assume that the diffusion coefficient of the considered semilinear stochastic wave equation is constant, that is, it is assumed that the considered wave equation is driven by additive noise, and no approximation results for multiplicative noise are known. The purpose of this work is to close this gap and to establish sharp weak convergence rates for semilinear stochastic wave equations with multiplicative noise. In particular, our weak convergence result establishes as a special case essentially sharp weak convergence rates for the hyperbolic Anderson model. Our method of proof makes use of the Kolmogorov equation, the H"older-inequality for Schatten norms, and the mild It^o formula.

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Cited in

(12)

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• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
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• Lower bounds for weak approximation errors for spatial spectral Galerkin approximations of stochastic wave equations
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• Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• Weak convergence of Galerkin approximations for fractional elliptic stochastic PDEs with spatial white noise
• Exponential integrator for stochastic strongly damped wave equation based on the Wong-Zakai approximation

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