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Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise

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  • Mukam, Jean Daniel
  • Tambue, Antoine

Abstract

This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise. Our main interest is on such SPDEs where the nonlinear part is stronger than the linear part, usually called stochastic dominated transport equations. Most standard numerical schemes lose their good stability properties on such equations, including the current linear implicit Euler method. We discretize the SPDE in space by the finite element method and propose a novel scheme called stochastic Rosenbrock-type scheme for temporal discretization. Our scheme is based on the local linearization of the semi-discrete problem obtained after space discretization and is more appropriate for such equations. We provide a strong convergence of the new fully discrete scheme toward the exact solution for multiplicative and additive noise and obtain optimal rates of convergence. Numerical experiments to sustain our theoretical results are provided.

Suggested Citation

  • Mukam, Jean Daniel & Tambue, Antoine, 2020. "Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4968-5005.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:8:p:4968-5005
    DOI: 10.1016/j.spa.2020.02.008
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    1. Tambue, Antoine & Mukam, Jean Daniel, 2019. "Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 23-40.
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