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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 :
- Zeitschrift für angewandte Mathematik und Physik, 70 (1)
- 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 :
- Vries equation
Weak convergence
Applied Mathematics
General Mathematics
Mathematics::Analysis of PDEs
General Physics and Astronomy
010103 numerical & computational mathematics
Stochastic evolution
Wave equation
01 natural sciences
Noise (electronics)
Multiplicative noise
60H15, 65C30
010101 applied mathematics
Nonlinear system
symbols.namesake
symbols
Applied mathematics
Mathematics - Numerical Analysis
0101 mathematics
Schrödinger's cat
Mathematics - Probability
Mathematics
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- Zeitschrift für angewandte Mathematik und Physik, 70 (1)
- Accession number :
- edsair.doi.dedup.....a6646e07d396b815252bfea1eda68fba