Approximation of the invariant measure with an Euler scheme for Stochastic PDE's driven by Space-Time White Noise

Details Approximation of the invariant measure with an Euler scheme for Stochastic PDE's driven by Space-Time White Noise Approximation of the invariant measure with an Euler scheme for Stochastic PDE's driven by Space-Time White Noise

2012-02-13

arxiv.org/abs/1202.2707v1

Mathematics

Numerical Analysis

Scientific paper

In this article, we consider a stochastic PDE of parabolic type, driven by a space-time white-noise, and its numerical discretization in time with a semi-implicit Euler scheme. When the nonlinearity is assumed to be bounded, then a dissipativity assumption is satisfied, which ensures that the SDPE admits a unique invariant probability measure, which is ergodic and strongly mixing - with exponential convergence to equilibrium. Considering test functions of class $\mathcal{C}^2$, bounded and with bounded derivatives, we prove that we can approximate this invariant measure using the numerical scheme, with order 1/2 with respect to the time step.

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