Duality in refined Sobolev–Malliavin spaces and weak approximation of SPDE

• 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.

Ämnesord

NATURVETENSKAP  -- Matematik -- Beräkningsmatematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Computational Mathematics (hsv//eng)

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

SPDE

Finite element method

Backward Euler

Weak convergence

Convergence of moments

Malliavin calculus

Duality

Spatio-temporal discretization

Malliavin calculus

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