An accelerated splitting-up method for parabolic equations

István Gyöngy, Nicolai Krylov

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We approximate the solution u of the Cauchy problem ∂/∂t u(t, x) - Lu(t, x) + f(t, x), (t, x) ∈ (0, T] × ℝd, u(0, x) =u0(x), x ∈ ℝd, by splitting the equation into the system ∂/∂t νr(t, x) = Lrν r(t, x) + fr(t, x), r = 1, 2,...,d1, where L, Lr are second order differential operators; f, fr are functions of t, x such that L -∑r Lr, f =∑r fr. Under natural conditions on solvability In the Sobolev spaces Wpm, we show that for any k > 1 one can approximate the solution u with an error of order δk, by an appropriste combination of the solutions νr along a sequence of time discretisation, where δ is proportional to the step size of the grid. This result is obtained by using the time change Introduced In [I. Gyöngy and N. Krylov, Ann. Probab., 31 (2003), pp. 564-691], together with Richardson's method and a power series expansion of the error of splitting-up approximations in terms of δ.

Original languageEnglish (US)
Pages (from-to)1070-1097
Number of pages28
JournalSIAM Journal on Mathematical Analysis
Issue number4
StatePublished - 2005


  • Cauchy problem
  • Method of alternative direction
  • Parabolic partial differential equations
  • Richardson's method
  • Splitting-up


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