Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations

Abstract

We establish weak convergence rates for noise discretizations of a wide class of stochastic evolution equations with non-regularizing semigroups and additive or multiplicative noise. This class covers the nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equation. For several important equations, including the stochastic wave equation, previous methods give only suboptimal rates, whereas our rates are essentially sharp.

26 pages, minor revision