Temporal approximation of stochastic evolution equations with irregular nonlinearities

Author:

Klioba KatharinaORCID,Veraar Mark

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

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