Weak order for the discretization of the stochastic heat equation

In this paper we study the approximation of the distribution of $X_t$ Hilbert--valued stochastic process solution of a linear parabolic stochastic partial differential equation written in an abstract form as $$dX_t+AX_t dt = Q^{1/2} d W_t, \quad X_0=x \in H, \quad t\in[0,T],$$ driven by a Gaussian space time noise whose covariance operator $Q$ is given. We assume that $A^{-\alpha}$ is a finite trace operator for some $\alpha>0$ and that $Q$ is bounded from $H$ into $D(A^\beta)$ for some $\beta\geq 0$. It is not required to be nuclear or to commute with $A$. The discretization is achieved thanks to finite element methods in space (parameter $h>0$) and implicit Euler schemes in time (parameter $\Delta t=T/N$). We define a discrete solution $X^n_h$ and for suitable functions $\phi$ defined on $H$, we show that |\E \phi(X^N_h) - \E \phi(X_T) | = O(h^{2\gamma} + \Delta t^\gamma) \noindent where $\gamma<1- \alpha + \beta$. Let us note that as in the finite dimensional case the rate of convergence is twice the one for pathwise approximations

Markov solutions for the 3D stochastic Navier--Stokes equations with state dependent noise

We construct a Markov family of solutions for the 3D Navier-Stokes equation perturbed by a non degenerate noise. We improve the result of [DPD-NS3D] in two directions. We see that in fact not only a transition semigroup but a Markov family of solutions can be constructed. Moreover, we consider a state dependant noise. Another feature of this work is that we greatly simplify the proofs of [DPD-NS3D]

Small noise asymptotic of the timing jitter in soliton transmission

We consider the problem of the error in soliton transmission in long-haul optical fibers caused by the spontaneous emission of noise inherent to amplification. We study two types of noises driving the stochastic focusing cubic one dimensional nonlinear Schr\"{o}dinger equation which appears in physics in that context. We focus on the fluctuations of the mass and arrival time or timing jitter. We give the small noise asymptotic of the tails of these two quantities for the two types of noises. We are then able to prove several results from physics among which the Gordon--Haus effect which states that the fluctuation of the arrival time is a much more limiting factor than the fluctuation of the mass. The physical results had been obtained with arguments difficult to fully justify mathematically.Comment: Published in at http://dx.doi.org/10.1214/07-AAP449 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Modified energy for split-step methods applied to the linear Schr\"odinger equation

We consider the linear Schr\"odinger equation and its discretization by split-step methods where the part corresponding to the Laplace operator is approximated by the midpoint rule. We show that the numerical solution coincides with the exact solution of a modified partial differential equation at each time step. This shows the existence of a modified energy preserved by the numerical scheme. This energy is close to the exact energy if the numerical solution is smooth. As a consequence, we give uniform regularity estimates for the numerical solution over arbitrary long tim

Kolmogorov Equations and Weak Order Analysis for SPDES with Nonlinear Diffusion Coefficient

We provide new regularity results for the solutions of the Kolmogorov equation associated to a SPDE with nonlinear diffusion coefficients and a Burgers type nonlinearity. This generalizes previous results in the simpler cases of additive or affine noise. The basic tool is a discrete version of a two sided stochastic integral which allows a new formulation for the derivatives of these solutions. We show that this can be used to generalize the weak order analysis performed in [16]. The tools we develop are very general and can be used to study many other examples of applications