Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs

Charles-Edouard Bréhier

Published 2017-09-27Version 1

This article investigates the role of the regularity of the test function when considering the weak error for standard discretizations of SPDEs of the form $dX(t)=AX(t)dt+F(X(t))dt+dW(t)$, driven by space-time white noise. In previous results, test functions are assumed (at least) of class $\mathcal{C}^2$ with bounded derivatives, and the weak order is twice the strong order. We prove, in the case $F=0$, that to quantify the speed of convergence, it is crucial to control some derivatives of the test functions, even when the noise is non-degenerate. First, the supremum of the weak error over all bounded continuous functions, which are bounded by $1$, does not converge to $0$ as the discretization parameter vanishes. Second, when considering bounded Lipschitz test functions, the weak order of convergence is divided by $2$, i.e. it is not better than the strong order. This is in contrast with the finite dimensional case, where the Euler-Maruyama discretization of elliptic SDEs $dY(t)=f(Y(t))dt+dB_t$ has weak order of convergence $1$ even for bounded continuous functions.