Accelerated finite elements schemes for parabolic stochastic partial differential equations

István Gyöngy, Annie Millet

Published 2018-12-05Version 1

For a class of finite elements approximations for linear stochastic parabolic PDEs it is proved that one can accelerate the rate of convergence by Richardson extrapolation. More precisely, by taking appropriate mixtures of finite elements approximations one can accelerate the convergence to any given speed provided the coefficients, the initial and free data are sufficiently smooth.