Weak error analysis for semilinear stochastic Volterra equations with additive noise
We prove a weak error estimate for the approximation in space and time of a semilinear stochastic Volterra integro-differential equation driven by additive space-time Gaussian noise. We treat this equation in an abstract framework, in which parabolic stochastic partial differential equations are also included as a special case. The approximation in space is performed by a standard finite element method and in time by an implicit Euler method combined with a convolution quadrature. The weak rate of convergence is proved to be twice the strong rate, as expected. Our weak convergence result concerns not only the solution at a fixed time but also integrals of the entire path with respect to any finite Borel measure. The proof does not rely on a Kolmogorov equation. Instead it is based on a duality argument from Malliavin calculus.
strong and weak convergence
Stochastic Volterra equations
finite element method