Abstract
AbstractIn this paper, we prove convergence for contractive time discretisation schemes for semi-linear stochastic evolution equations with irregular Lipschitz nonlinearities, initial values, and additive or multiplicative Gaussian noise on 2-smooth Banach spaces X. The leading operator A is assumed to generate a strongly continuous semigroup S on X, and the focus is on non-parabolic problems. The main result concerns convergence of the uniform strong error$$\begin{aligned} \textrm{E}_{k}^{\infty } {:}{=}\Big (\mathbb {E}\sup _{j\in \{0, \ldots , N_k\}} \Vert U(t_j) - U^j\Vert _X^p\Big )^{1/p} \rightarrow 0\quad (k \rightarrow 0), \end{aligned}$$
E
k
∞
:
=
(
E
sup
j
∈
{
0
,
…
,
N
k
}
‖
U
(
t
j
)
-
U
j
‖
X
p
)
1
/
p
→
0
(
k
→
0
)
,
where $$p \in [2,\infty )$$
p
∈
[
2
,
∞
)
, U is the mild solution, $$U^j$$
U
j
is obtained from a time discretisation scheme, k is the step size, and $$N_k = T/k$$
N
k
=
T
/
k
for final time $$T>0$$
T
>
0
. This generalises previous results to a larger class of admissible nonlinearities and noise, as well as rough initial data from the Hilbert space case to more general spaces. We present a proof based on a regularisation argument. Within this scope, we extend previous quantified convergence results for more regular nonlinearity and noise from Hilbert to 2-smooth Banach spaces. The uniform strong error cannot be estimated in terms of the simpler pointwise strong error$$\begin{aligned} \textrm{E}_k {:}{=}\bigg (\sup _{j\in \{0,\ldots ,N_k\}}\mathbb {E}\Vert U(t_j) - U^{j}\Vert _X^p\bigg )^{1/p}, \end{aligned}$$
E
k
:
=
(
sup
j
∈
{
0
,
…
,
N
k
}
E
‖
U
(
t
j
)
-
U
j
‖
X
p
)
1
/
p
,
which most of the existing literature is concerned with. Our results are illustrated for a variant of the Schrödinger equation, for which previous convergence results were not applicable.
Funder
Nederlandse Organisatie voor Wetenschappelijk Onderzoek
Technische Universität Hamburg
Publisher
Springer Science and Business Media LLC