Duality in refined Sobolev-Malliavin spaces and weak approximations of SPDE

Abstract

We introduce a new family of refined Sobolev-Malliavin spaces that capture the integrability in time of the Malliavin derivative. We consider duality in these spaces and derive a Burkholder type inequality in a dual norm. The theory we develop allows us to prove weak convergence with essentially optimal rate for numerical approximations in space and time of semilinear parabolic stochastic evolution equations driven by Gaussian additive noise. In particular, we combine a standard Galerkin finite element method with backward Euler timestepping. The method of proof does not rely on the use of the Kolmogorov equation or the Itō formula and is therefore non-Markovian in nature. Test functions satisfying polynomial growth and mild smoothness assumptions are allowed, meaning in particular that we prove convergence of arbitrary moments with essentially optimal rate.

32 pages

References in corpus (3)

• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• Weak error analysis for semilinear stochastic Volterra equations with additive noise

Cited by in corpus (17)

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