Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations
Abstract
In this paper we propose and analyze explicit space-time discrete numerical approximations for additive space-time white noise driven stochastic partial differential equations (SPDEs) with non-globally monotone nonlinearities such as the stochastic Burgers equation with space-time white noise. The main result of this paper proves that the proposed explicit space-time discrete approximation method converges strongly to the solution process of the stochastic Burgers equation with space-time white noise. To the best of our knowledge, the main result of this work is the first result in the literature which establishes strong convergence for a space-time discrete approximation method in the case of the stochastic Burgers equations with space-time white noise.
Keywords
Cite
@article{arxiv.1710.07123,
title = {Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations},
author = {Arnulf Jentzen and Diyora Salimova and Timo Welti},
journal= {arXiv preprint arXiv:1710.07123},
year = {2020}
}
Comments
60 pages