Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. WEAK ERROR ESTIMATES FOR TRAJECTORIES OF SPDEs UNDER SPECTRAL GALERKIN DISCRETIZATION
 
journal article

WEAK ERROR ESTIMATES FOR TRAJECTORIES OF SPDEs UNDER SPECTRAL GALERKIN DISCRETIZATION

Brehier, Charles-Edouard
•
Hairer, Martin  
•
Stuart, Andrew M.
January 1, 2018
JOURNAL OF COMPUTATIONAL MATHEMATICS

We consider stochastic semi-linear evolution equations which are driven by additive, spatially correlated, Wiener noise, and in particular consider problems of heat equation (analytic semigroup) and damped-driven wave equations (bounded semigroup) type. We discretize these equations by means of a spectral Galerkin projection, and we study the approximation of the probability distribution of the trajectories: test functions are regular, but depend on the values of the process on the interval [0, T].We introduce a new approach in the context of quantative weak error analysis for discretization of SPDEs. The weak error is formulated using a deterministic function (Ito map) of the stochastic convolution found when the nonlinear term is dropped. The regularity properties of the Ito map are exploited, and in particular second-order Taylor expansions employed, to transfer the error from spectral approximation of the stochastic convolution into the weak error of interest.We prove that the weak rate of convergence is twice the strong rate of convergence in two situations. First, we assume that the covariance operator commutes with the generator of the semigroup: the first order term in the weak error expansion cancels out thanks to an independence property. Second, we remove the commuting assumption, and extend the previous result, thanks to the analysis of a new error term depending on a commutator.

  • Details
  • Metrics
Type
journal article
DOI
10.4208/jcm.1607-m2016-0539
Web of Science ID

WOS:000455995300002

Author(s)
Brehier, Charles-Edouard
Hairer, Martin  
Stuart, Andrew M.
Date Issued

2018-01-01

Publisher

GLOBAL SCIENCE PRESS

Published in
JOURNAL OF COMPUTATIONAL MATHEMATICS
Volume

36

Issue

2

Start page

159

End page

182

Subjects

PARTIAL-DIFFERENTIAL-EQUATIONS

•

DIFFUSION LIMITS

•

RANDOM-WALK

•

APPROXIMATION

•

CONVERGENCE

•

ALGORITHM

•

Stochastic Partial Differential Equations

•

Weak approximation

•

Spectral Galerkin discretization

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
FunderFunding(s)Grant NumberGrant URL

EPSRC

EP/F050798/1, EP/K034154/1

ERC

ONR

Show more
Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241211
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés