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Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schr\'odinger and linearized stochastic Korteweg-de Vries equations

Authors :
Harms, Philipp
Müller, Marvin S.
Source :
Z. Angew. Math. Phys. (2019) 70: 16
Publication Year :
2017

Abstract

We establish weak convergence rates for noise discretizations of a wide class of stochastic evolution equations with non-regularizing semigroups and additive or multiplicative noise. This class covers the nonlinear stochastic wave, HJMM, stochastic Schr\"odinger and linearized stochastic Korteweg-de Vries equation. For several important equations, including the stochastic wave equation, previous methods give only suboptimal rates, whereas our rates are essentially sharp.<br />Comment: 26 pages, minor revision

Details

Database :
arXiv
Journal :
Z. Angew. Math. Phys. (2019) 70: 16
Publication Type :
Report
Accession number :
edsarx.1710.01273
Document Type :
Working Paper
Full Text :
https://doi.org/10.1007/s00033-018-1060-4