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Applied Numerical Mathematics
Article . 2020 . Peer-reviewed
License: Elsevier TDM
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Article . 2020
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https://dx.doi.org/10.48550/ar...
Article . 2018
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A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations

Authors: Chen, Ziheng; Gan, Siqing; Wang, Xiaojie;

A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations

Abstract

We discrete the ergodic semilinear stochastic partial differential equations in space dimension $d \leq 3$ with additive noise, spatially by a spectral Galerkin method and temporally by an exponential Euler scheme. It is shown that both the spatial semi-discretization and the spatio-temporal full discretization are ergodic. Further, convergence orders of the numerical invariant measures, depending on the regularity of noise, are recovered based on an easy time-independent weak error analysis without relying on Malliavin calculus. To be precise, the convergence order is $1-��$ in space and $\frac{1}{2}-��$ in time for the space-time white noise case and $2-��$ in space and $1-��$ in time for the trace class noise case in space dimension $d = 1$, with arbitrarily small $��>0$. Numerical results are finally reported to confirm these theoretical findings.

27 pages, to appear in: Applied Numerical Mathematics

Related Organizations
Keywords

weak approximation, Ordinary differential equations and systems with randomness, stochastic partial differential equations, invariant measure, 60H15, 60H35, 37M25, Probability (math.PR), Probabilistic methods, stochastic differential equations, Numerical Analysis (math.NA), Stochastic analysis, Approximation methods and numerical treatment of dynamical systems, FOS: Mathematics, ergodicity, exponential Euler scheme, Mathematics - Numerical Analysis, Mathematics - Probability

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
23
Top 10%
Top 10%
Top 10%
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