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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
- 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
- Subjects :
- Mathematics - Probability
Mathematics - Numerical Analysis
60H15, 65C30
Subjects
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