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The Galerkin Analysis for the Random Periodic Solution of Semilinear Stochastic Evolution Equations

Author

Listed:
  • Yue Wu

    (University of Strathclyde
    University of Oxford)

  • Chenggui Yuan

    (Swansea University)

Abstract

In this paper, we study the numerical method for approximating the random periodic solution of semilinear stochastic evolution equations. The main challenge lies in proving a convergence over an infinite time horizon while simulating infinite-dimensional objects. We first show the existence and uniqueness of the random periodic solution to the equation as the limit of the pull-back flows of the equation, and observe that its mild form is well defined in the intersection of a family of decreasing Hilbert spaces. Then, we propose a Galerkin-type exponential integrator scheme and establish its convergence rate of the strong error to the mild solution, where the order of convergence directly depends on the space (among the family of Hilbert spaces) for the initial point to live. We finally conclude with a best order of convergence that is arbitrarily close to 0.5.

Suggested Citation

  • Yue Wu & Chenggui Yuan, 2023. "The Galerkin Analysis for the Random Periodic Solution of Semilinear Stochastic Evolution Equations," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-27, March.
    • Handle: RePEc:spr:jotpro:v:36:y:2023:i:1:d:10.1007_s10959-023-01236-x
    DOI: 10.1007/s10959-023-01236-x
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