A splitting algorithm for stochastic partial differential equations driven by linear multiplicative noise

Abstract

We study the convergence of a Douglas-Rachford type splitting algorithm for the infinite dimensional stochastic differential equation $$dX+A(t)(X)dt=X\,dW\mbox{ in }(0,T);\ X(0)=x,$$ where $A(t):V\to V^{\prime }$ is a nonlinear, monotone, coercive and demicontinuous operator with sublinear growth and $V$ is a real Hilbert space with the dual $V^{\prime }$. $V$ is densely and continuously embedded in the Hilbert space $H$ and $W$ is an $H$-valued Wiener process. The general case of a maximal monotone operators $A(t):H\to H$ is also investigated.

17 pages