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STRONG AND WEAK CONVERGENCE RATES OF A SPATIAL APPROXIMATION FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATION WITH ONE-SIDED LIPSCHITZ COEFFICIENT

文献类型：期刊论文

作者Cui, Jianbo1,2; Hong, Jialin1,2
刊名SIAM JOURNAL ON NUMERICAL ANALYSIS
出版日期2019
卷号57期号:4页码:1815-1841
关键词one-sided Lipschitz coefficient stochastic Allen-Cahn equation finite element method strong and weak convergence rate Kolmogorov equation Malliavin calculus
ISSN号0036-1429
DOI10.1137/18M1215554
英文摘要Strong and weak approximation errors of a spatial finite element method are analyzed for the stochastic partial differential equations (SPDEs) with one-sided Lipschitz coefficients, including the stochastic Allen-Cahn equation, driven by additive noise. In order to give the strong convergence rate of the finite element method, we present an appropriate decomposition and some a priori estimates of the discrete stochastic convolution. To the best of our knowledge, there have been no essentially sharp weak convergence rates of spatial approximations for parabolic SPDEs with non-globally Lipschitz coefficients. To investigate the weak error, we first regularize the original equation by the splitting technique and obtain the regularity estimate the corresponding regularized Kolmogorov equation. Meanwhile, we present the refined estimates and the regularity estimate in the Malliavin sense of the finite element methods. Combining with the regularity of regularized Kolmogorov equation and Malliavin integration by parts, the weak convergence rate is shown to be twice the strong convergence rate.
资助项目National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[91530118] ; National Natural Science Foundation of China[11021101] ; National Natural Science Foundation of China[11290142]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000483942800012
出版者SIAM PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/35519]  
专题计算数学与科学工程计算研究所
通讯作者Cui, Jianbo
作者单位1.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, ICMSEC, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Cui, Jianbo,Hong, Jialin. STRONG AND WEAK CONVERGENCE RATES OF A SPATIAL APPROXIMATION FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATION WITH ONE-SIDED LIPSCHITZ COEFFICIENT[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2019,57(4):1815-1841.
APA Cui, Jianbo,&Hong, Jialin.(2019).STRONG AND WEAK CONVERGENCE RATES OF A SPATIAL APPROXIMATION FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATION WITH ONE-SIDED LIPSCHITZ COEFFICIENT.SIAM JOURNAL ON NUMERICAL ANALYSIS,57(4),1815-1841.
MLA Cui, Jianbo,et al."STRONG AND WEAK CONVERGENCE RATES OF A SPATIAL APPROXIMATION FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATION WITH ONE-SIDED LIPSCHITZ COEFFICIENT".SIAM JOURNAL ON NUMERICAL ANALYSIS 57.4(2019):1815-1841.

入库方式： OAI收割

来源：数学与系统科学研究院

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