Strong and weak convergence rates of finite element method for stochastic partial differential equation with non-sided Lipschitz coefficient

Abstract

Strong and weak approximation errors of a spatial finite element method are analyzed for stochastic partial differential equations(SPDEs) with one-sided Lipschitz coefficients, including the stochastic Allen--Cahn equation, driven by additive noise. In order to give the strong convergence rate of the finite element method, we present an appropriate decomposition and some a priori estimates of the discrete stochastic convolution. To the best of our knowledge, there has been no essentially sharp weak convergence rate of spatial approximation for parabolic SPDEs with non-globally Lipschitz coefficients. To investigate the weak error, we first regularize the original equation by the splitting technique and derive the regularity estimates of the corresponding regularized Kolmogorov equation. Meanwhile, we present the regularity estimate in Malliavin sense and the refined estimate of the finite element method. Combining the regularity estimates of regularized Kolmogorov equation with Malliavin integration by parts formula, the weak convergence rate is shown to be twice the strong convergence rate.

arXiv comment26pages

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Cited by in corpus (2)

• Adaptive time-stepping for Stochastic Partial Differential Equations with non-Lipschitz drift
• Weak convergence and invariant measure of a full discretization for non-globally Lipschitz parabolic SPDE