DagSemProc.04401.6.pdf
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Lower Bounds and Non-Uniform Time Discretization for Approximation of Stochastic Heat Equations
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Dagstuhl Seminar Proceedings, Volume 4401
Series: Dagstuhl Seminar Proceedings (DagSemProc) - License:
Creative Commons Attribution 4.0 International license
- Publication Date: 2005-04-19
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Klaus Ritter and Thomas Müller-Gronbach. Lower Bounds and Non-Uniform Time Discretization for Approximation of Stochastic Heat Equations. In Algorithms and Complexity for Continuous Problems. Dagstuhl Seminar Proceedings, Volume 4401, pp. 1-37, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005)
https://doi.org/10.4230/DagSemProc.04401.6
Abstract
We study algorithms for approximation of the mild solution of stochastic heat equations on the spatial domain ]0,1[^d. The error of an algorithm is defined in L_2-sense. We derive lower bounds for the error of every algorithm that uses a total of N evaluations of one-dimensional components of the driving Wiener process W. For equations with additive noise we derive matching upper bounds and we construct asymptotically optimal algorithms. The error bounds depend on N and d, and on the decay of eigenvalues of the covariance of W in the case of nuclear noise. In the latter case the use of non-uniform time discretizations is crucial.
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Keywords
- Stochastic heat equation
- Non-uniform time discretization
- minimal errors
- upper and lower bounds
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