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arXiv · 1408.0713

Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus

Xiaojie Wang
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Abstract

This paper deals with the weak error estimates of the exponential Euler method for semi-linear stochastic partial differential equations (SPDEs). A weak error representation formula is first derived for the exponential integrator scheme in the context of truncated SPDEs. The obtained formula that enjoys the absence of the irregular term involved with the unbounded operator is then applied to a parabolic SPDE. Under certain mild assumptions on the nonlinearity, we treat a full discretization based on the spectral Galerkin spatial approximation and provide an easy weak error analysis, which does not rely on Malliavin calculus.

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BibTeXRIS

Xiaojie Wang. 2014-08-04. Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus. https://doi.org/10.3934/dcds.2016.36.xx

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