An Implicit Euler Scheme with Non-uniform Time Discretization for Heat Equations with Multiplicative Noise

Abstract

We present an algorithm for solving stochastic heat equations, whose key ingredient is a non-uniform time discretization of the driving Brownian motion $W$. For this algorithm we derive an error bound in terms of its number of evaluations of one-dimensional components of $W$. The rate of convergence depends on the spatial dimension of the heat equation and on the decay of the eigenfunctions of the covariance of $W$. According to known lower bounds, our algorithm is optimal, up to a constant, and this optimality cannot be achieved by uniform time discretizations.