Weak approximation for semilinear stochastic evolution equations
This article gives precise bounds for the error of weak approximations of semilinear SPDEs of the type \(dX_t=(AX_t+f(X_t)) dt +Q^{1/2} dW\) with nice Lipschitz nonlinearity \(f\). It considers the accuracy of the approximation of \(E[\varphi(X_t)]\) for arbitrary bounded test functions \(\varphi\). The main result verifies an order one error bound in the step size. The author uses implicit Euler and Crank-Nicolson scheme, as well as an explicit Euler scheme. Furthermore, both discretization in space and time is considered. One major tool is the Malliavin calculus, and the article gives a brief well written summary of the theory needed for the proofs. For the entire collection see [Zbl 1012.00030].
- Weak approximation of stochastic partial differential equations: the nonlinear case
- Malliavin regularity and weak approximation of semilinear SPDEs with Lévy noise
- Strong and weak approximation of semilinear stochastic evolution equations
- Weak error analysis for semilinear stochastic Volterra equations with additive noise
- Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
- Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
- Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
- Stability of random attractors under perturbation and approximation
- Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
- Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients
- Malliavin regularity and weak approximation of semilinear SPDEs with Lévy noise
- Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise. II: Fully discrete schemes
- Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise
- Continuous weak approximation for stochastic differential equations
- Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
- Weak convergence for a spatial approximation of the nonlinear stochastic heat equation
- Weak order for the discretization of the stochastic heat equation
- Weak approximation of stochastic partial differential equations: the nonlinear case
- Strong and weak approximation of semilinear stochastic evolution equations
- Weak error estimates for trajectories of SPDEs under spectral Galerkin discretization
- scientific article; zbMATH DE number 1868912 (Why is no real title available?)
- Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
- A mild Itô formula for SPDEs
- Weak error analysis for semilinear stochastic Volterra equations with additive noise
- The numerical approximation of stochastic partial differential equations
- Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
- Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise
- Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise
- Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise
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