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Optimal rate of convergence for stochastic Burgers-type equations

Probability 2016-05-20 v2 Analysis of PDEs Numerical Analysis

Abstract

Recently, a solution theory for one-dimensional stochastic PDEs of Burgers type driven by space-time white noise was developed. In particular, it was shown that natural numerical approximations of these equations converge and that their convergence rate in the uniform topology is arbitrarily close to 16\frac{1}{6}. In the present article we improve this result in the case of additive noise by proving that the optimal rate of convergence is arbitrarily close to 12\frac{1}{2}.

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Cite

@article{arxiv.1504.05134,
  title  = {Optimal rate of convergence for stochastic Burgers-type equations},
  author = {Martin Hairer and Konstantin Matetski},
  journal= {arXiv preprint arXiv:1504.05134},
  year   = {2016}
}

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36 pages