• Media type: E-Article
  • Title: Numerical approximation of stochastic evolution equations: Convergence in scale of Hilbert spaces
  • Contributor: Bessaih, Hakima [Author]; Hausenblas, Erika [Author]; Randrianasolo, Tsiry Avisoa [Author]; Razafimandimby, Paul [Author]
  • Published: Elsevier, 2018
  • Language: English
  • DOI: https://doi.org/10.1016/j.cam.2018.04.067
  • ISSN: 1879-1778
  • Keywords: fully implicit scheme ; Goy and Sabra shell model ; Galerkin approximation ; time discretization ; semi-implicit scheme ; convergence in probability ; nonlinear heat equation
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  • Description: Bessaih H, Hausenblas E, Randrianasolo TA, Razafimandimby P. Numerical approximation of stochastic evolution equations: Convergence in scale of Hilbert spaces. Journal of Computational and Applied Mathematics . 2018;343:250-274. ; The present paper is devoted to the numerical approximation of an abstract stochastic nonlinear evolution equation in a separable Hilbert space {$\mathrm{H}$}. Examples of equations which fall into our framework include the GOY and Sabra shell models and { a class of nonlinear heat equations.} The space-time numerical scheme is defined in terms of a Galerkin approximation in space and a { semi-implicit Euler--Maruyama scheme in time}. {We prove the convergence in probability of our scheme by means of an estimate of the error on a localized set of arbitrary large probability.} Our error estimate is shown to hold in a more regular space $\mathrm{V}_{\beta}\subset \mathrm{H}$ with $\beta \in [0,\frac14)$ and { that the explicit rate of convergence of our scheme depends on this parameter $\beta$. }
  • Access State: Open Access
  • Rights information: Attribution (CC BY)