Influences of Numerical Discretizations on Hitting Probabilities for Linear Stochastic Parabolic System

Abstract

This paper investigates the influences of standard numerical discretizations on hitting probabilities for linear stochastic parabolic system driven by space-time white noises. We establish lower and upper bounds for hitting probabilities of the associated numerical solutions of both temporal and spatial semi-discretizations in terms of Bessel-Riesz capacity and Hausdorff measure, respectively. Moreover, the critical dimensions of both temporal and spatial semi-discretizations turn out to be half of those of the exact solution. This reveals that for a large class of Borel sets $A$, the probability of the event that the paths of the numerical solution hit $A$ cannot converge to that of the exact solution.

References in corpus (2)

• Hitting Probabilities for Systems of Non-Linear Stochastic Heat Equations with Additive Noise
• Strong Approximation of Stochastic Allen-Cahn Equation with White Noise