Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations
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Author
Harms, Philipp
Müller, Marvin S.
Date
2017-10-03Type
- Working Paper
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Abstract
We prove essentially sharp 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. We find that the weak rate equals twice the strong rate and depends in an explicit way on the regularity of the noise coefficient Show more
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Journal / series
arXivPages
Publisher
Cornell UniversitySubject
Probability; Numerical analysis of stochastic partial differential equations; stochastic partial differential equationOrganisational unit
09546 - Larsson, Martin
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