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

  • Philipp Harms
  • Marvin S. Müller
Article
  • 15 Downloads

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.

Mathematics Subject Classification

60H15 65C30 

Notes

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© Springer Nature Switzerland AG 2018

Authors and Affiliations

  1. 1.Institute of Advanced Studies and Department of Mathematical StochasticsUniversity of FreiburgFreiburg im BreisgauGermany
  2. 2.Department of MathematicsETH ZurichZurichSwitzerland

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