Accelerated exponential Euler scheme for stochastic heat equation : convergence rate of the density

Abstract

This paper studies the numerical approximation of the density of the stochastic heat equation driven by space-time white noise via the accelerated exponential Euler scheme. The existence and smoothness of the density of the numerical solution are proved by means of Malliavin calculus. Based on a priori estimates of the numerical solution we present a test-function-independent weak convergence analysis, which is crucial to show the convergence of the density. The convergence order of the density in uniform convergence topology is shown to be exactly 1/2 in the nonlinear drift case and nearly 1 in the affine drift case. As far as we know, this is the first result on the existence and convergence of density of the numerical solution to the stochastic partial differential equation.