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Weak convergence rates for numerical approximations of stochastic partial differential equations with nonlinear diffusion coefficients in UMD Banach spaces

by M. Hefter and A. Jentzen and R. Kurniawan

(Report number 2016-56)

Abstract
Strong convergence rates for numerical approximations of semilinear stochastic partial differential equations (SPDEs) with smooth and regular nonlinearities are well understood in the literature. Weak convergence rates for numerical approximations of such SPDEs have been investigated for about two decades and are still not yet fully understood. In particular, no essentially sharp weak convergence rates are known for temporal or spatial numerical approximations of space-time white noise driven SPDEs with nonlinear multiplication operators in the diffusion coefficients. In this article we overcome this problem by establishing essentially sharp weak convergence rates for exponential Euler approximations of semilinear SPDEs with nonlinear multiplication operators in the diffusion coefficients. Key ingredients of our approach are applications of the mild Itô type formula in UMD Banach spaces with type 2.

Keywords: stochastic partial differential equations; exponential Euler; numerically weak convergence rates

@Techreport{HJK16_693,
  author = {M. Hefter and A. Jentzen and R. Kurniawan},
  title = {Weak convergence rates for numerical approximations of stochastic partial differential equations with nonlinear diffusion coefficients in UMD Banach spaces},
  institution = {Seminar for Applied Mathematics, ETH Z{\"u}rich},
  number = {2016-56},
  address = {Switzerland},
  url = {https://www.sam.math.ethz.ch/sam_reports/reports_final/reports2016/2016-56.pdf },
  year = {2016}
}

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