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Daily Overview |
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Sto2: Stochastic analysis and differential equations Location: L602 Session Chair: Alexandra Blessing | |
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Overcoming the spatial order barrier for SPDEs with additive space-time white noise 1: TU Berlin, WIAS Berlin, Germany; 2: TU Wien, Austria When approximating solutions of SPDEs, a basic challenge is that the rate of convergence is limited due to the low time and space regularity of the solution. Considering semilinear SPDEs with additive space-time white noise in space dimension d=1, we introduce a novel numerical scheme which improves the spatial convergence rate from the classical rate 1/2 to rate 3/2. The temporal convergence rate is proven to be 1 for our scheme, which enhances the classical rate 1/4 using ideas of previous works (Jentzen, Kloeden ‘08, Jentzen ’11, Djurdjevac, Kremp, Gerencser '24) . The talk is based on a work in progress together with Lukas Anzeletti and Mate Gerencser. | |
