Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations
Müller, Marvin S.
- Working Paper
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
Journal / seriesarXiv
Pages / Article No.
SubjectProbability; Numerical analysis of stochastic partial differential equations; stochastic partial differential equation
Organisational unit09546 - Larsson, Martin
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