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URN: urn:nbn:de:0030-drops-1518
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Lower Bounds and Non-Uniform Time Discretization for Approximation of Stochastic Heat Equations

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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.

BibTeX - Entry

@InProceedings{ritter_et_al:DagSemProc.04401.6,
  author =	{Ritter, Klaus and M\"{u}ller-Gronbach, Thomas},
  title =	{{Lower Bounds and Non-Uniform Time Discretization for Approximation of Stochastic Heat Equations}},
  booktitle =	{Algorithms and Complexity for Continuous Problems},
  pages =	{1--37},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2005},
  volume =	{4401},
  editor =	{Thomas M\"{u}ller-Gronbach and Erich Novak and Knut Petras and Joseph F. Traub},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/opus/volltexte/2005/151},
  URN =		{urn:nbn:de:0030-drops-1518},
  doi =		{10.4230/DagSemProc.04401.6},
  annote =	{Keywords: Stochastic heat equation , Non-uniform time discretization , minimal errors , upper and lower bounds}
}

Keywords: Stochastic heat equation , Non-uniform time discretization , minimal errors , upper and lower bounds
Seminar: 04401 - Algorithms and Complexity for Continuous Problems
Issue date: 2005
Date of publication: 19.04.2005


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