Weak order for the discretization of the stochastic heat equation driven by impulsive noise

Felix Lindner, René L. Schilling

Published 2009-11-24, updated 2010-03-10Version 2

Considering a linear parabolic stochastic partial differential equation driven by impulsive space time noise, dX_t+AX_t dt= Q^{1/2}dZ_t, X_0=x_0\in H, t\in [0,T], we approximate the distribution of X_T. (Z_t)_{t\in[0,T]} is an impulsive cylindrical process and Q describes the spatial covariance structure of the noise; Tr(A^{-\alpha})<\infty for some \alpha>0 and A^\beta Q is bounded for some \beta\in(\alpha-1,\alpha]. A discretization (X_h^n)_{n\in\{0,1,...,N\}} is defined via the finite element method in space (parameter h>0) and a \theta-method in time (parameter \Delta t=T/N). For \phi\in C^2_b(H;R) we show an integral representation for the error |E\phi(X^N_h)-E\phi(X_T)| and prove that |E\phi(X^N_h)-E\phi(X_T)|=O(h^{2\gamma}+(\Delta t)^{\gamma}) where \gamma<1-\alpha+\beta.