Lower Bounds and Non-Uniform Time Discretization for Approximation of Stochastic Heat Equations

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 L2-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.

• Type: Conference
• Year: 2004
• Where: DAGSTUHL
• Authors: Klaus Ritter, Thomas Müller-Gronbach
• Keywords: DAGSTUHL 2004, DAGSTUHL 2007, Error Bounds Depend, Lower Bounds, Stochastic Heat Equations