Weak Convergence Rates for Spatial Spectral Galerkin Approximations of Semilinear Stochastic Wave Equations with Multiplicative Noise

Stochastic wave equations appear in several models for evolutionary processes subject to random forces, such as the motion of a strand of DNA in a liquid or heat flow around a ring. Semilinear stochastic wave equations can typically not be solved explicitly, but the literature contains a number of results which show that numerical approximation processes converge with suitable rates of convergence to solutions of such equations. In the case of approximation results for strong convergence rates, semilinear stochastic wave equations with both additive or multiplicative noise have been considered in the literature. In contrast, the existing approximation results for weak convergence rates assume that the diffusion coefficient of the considered semilinear stochastic wave equation is constant, that is, it is assumed that the considered wave equation is driven by additive noise, and no approximation results for multiplicative noise are known. The purpose of this work is to close this gap and to establish essentially sharp weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise. In particular, our weak convergence result establishes as a special case essentially sharp weak convergence rates for the continuous version of the hyperbolic Anderson model. Our method of proof makes use of the Kolmogorov equation and the Hölder-inequality for Schatten norms.

Optimal Control of Mean Field Equations with Monotone Coefficients and Applications in Neuroscience

We are interested in the optimal control problem associated with certain quadratic cost functionals depending on the solution $$X=X^\alpha $$ X = X α of the stochastic mean-field type evolution equation in $${\mathbb {R}}^d$$ R d $$\begin{aligned} dX_t=b(t,X_t,{\mathcal {L}}(X_t),\alpha _t)dt+\sigma (t,X_t,{\mathcal {L}}(X_t),\alpha _t)dW_t\,, \quad X_0\sim \mu (\mu \text { given),}\qquad (1) \end{aligned}$$ d X t = b ( t , X t , L ( X t ) , α t ) d t + σ ( t , X t , L ( X t ) , α t ) d W t , X 0 ∼ μ ( μ given), ( 1 ) under assumptions that enclose a system of FitzHugh–Nagumo neuron networks, and where for practical purposes the control $$\alpha _t$$ α t is deterministic. To do so, we assume that we are given a drift coefficient that satisfies a one-sided Lipschitz condition, and that the dynamics (2) satisfies an almost sure boundedness property of the form $$\pi (X_t)\le 0$$ π ( X t ) ≤ 0 . The mathematical treatment we propose follows the lines of the recent monograph of Carmona and Delarue for similar control problems with Lipschitz coefficients. After addressing the existence of minimizers via a martingale approach, we show a maximum principle for (2), and numerically investigate a gradient algorithm for the approximation of the optimal control.