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Weak convergence for semi-linear SPDEs.

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mardi 31 jan 2017
Faculté des sciences - Section de mathématiques

Joint work with Arnulf Jentzen, Ryan Kurniawan, and Timo Welti.
In numerical analysis for stochastic differential equations, a general rule of thumb is that the optimal weak convergence rate of a numerical scheme is twice the optimal strong convergence rate. However, for SPDEs the optimal weak convergence rate is difficult to establish theoretically. Recently, progress was been made by Jentzen, Kurniawan and Welti for semi-linear SPDEs using the so-called mild Itô formula. We consider this approach for wave equations.