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Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrodinger and linearized stochastic Korteweg-de Vries equations
- Journal Article
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 Schrodinger 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. Show more
Journal / seriesZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND PHYSIK
PublisherSPRINGER INTERNATIONAL PUBLISHING AG
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