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Analysis of a Modified Regularity-Preserving Euler Scheme for Parabolic Semilinear SPDEs: Total Variation Error Bounds for the Numerical Approximation of the Invariant Distribution

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Abstract

We propose a modification of the standard linear implicit Euler integrator for the weak approximation of parabolic semilinear stochastic PDEs driven by additive space-time white noise. This new method can easily be combined with a finite difference method for the spatial discretization. The proposed method is shown to have improved qualitative properties compared with the standard method. First, for any time-step size, the spatial regularity of the solution is preserved, at all times. Second, the proposed method preserves the Gaussian invariant distribution of the infinite dimensional Ornstein–Uhlenbeck process obtained when the nonlinearity is removed, for any time-step size. The weak order of convergence of the proposed method is shown to be equal to 1/2 in a general setting, like for the standard Euler scheme. A stronger weak approximation result is obtained when considering the approximation of a Gibbs invariant distribution, when the nonlinearity is a gradient: one obtains an approximation in total variation distance of order 1/2, which does not hold for the standard method. This is the first result of this type in the literature and this is the major and most original result of this article.

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Acknowledgements

The author warmly thanks Gilles Vilmart for crucial discussions about the construction of the proposed method at an early stage of this work. He also thanks the referees for helpful comments and suggestions on the initial version of this manuscript. This work is partially supported by the following projects operated by the French National Research Agency: ADA (ANR-19-CE40-0019-02) and SIMALIN (ANR-19-CE40-0016).

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  1. Universite de Pau et des Pays de l’Adour, E2S UPPA, CNRS, LMAP, Pau, France

    Charles-Edouard Bréhier

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Correspondence to Charles-Edouard Bréhier.

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Communicated by Tony Lelièvre.

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Bréhier, CE. Analysis of a Modified Regularity-Preserving Euler Scheme for Parabolic Semilinear SPDEs: Total Variation Error Bounds for the Numerical Approximation of the Invariant Distribution. Found Comput Math (2024). https://doi.org/10.1007/s10208-024-09644-z

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  • DOI: https://doi.org/10.1007/s10208-024-09644-z

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