Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs

DOI10.1016/j.jco.2019.101424zbMath1476.65265arXiv1709.09370OpenAlexW2969176291MaRDI QIDQ2283124

Charles-Edouard Bréhier

Publication date: 30 December 2019

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.09370

zbMATH Keywords

rate of convergencespectral Galerkin methodstochastic partial differential equationimplicit Euler schemeweak error

Mathematics Subject Classification ID

Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) White noise theory (60H40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Influence of numerical discretizations on hitting probabilities for linear stochastic parabolic systems ⋮ Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme ⋮ On a Monte Carlo scheme for some linear stochastic partial differential equations

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