Temporal approximation of stochastic evolution equations with irregular nonlinearities

In 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 (Formula presented.) where p∈[2,∞), U is the mild solution, Uj is obtained from a time discretisation scheme, k is the step size, and Nk=T/k for final time 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 (Formula presented.) 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.

Subjects

Low regularity

Pathwise uniform convergence

SPDEs

Stochastic convolutions

Time discretisation schemes

DDC Class

510: Mathematics

Funding(s)

Projekt DEAL

Publication version

publishedVersion

Lizenz

https://creativecommons.org/licenses/by/4.0/

Name

s00028-024-00975-6.pdf

Type

Main Article

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538.2 KB

Format

Adobe PDF

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Temporal approximation of stochastic evolution equations with irregular nonlinearities