Adaptive Galerkin Approximation Algorithms for Partial Differential Equations in Infinite Dimensions

Space-time variational formulations of infinite-dimensional Fokker–Planck (FP) and Ornstein–Uhlenbeck (OU) equations for functions on a separable Hilbert space H are developed. The well-posedness of these equations in the Hilbert space L2(H,μ) of functions on H, which are square-integrable with respect to a Gaussian measure μ on H, is proved. Specifically, for the infinite-dimensional FP equation, adaptive space-time Galerkin discretizations, based on a tensorized Riesz basis, built from biorthogonal piecewise polynomial wavelet bases in time and the Hermite polynomial chaos in the Wiener–Itô decomposition of L2(H,μ), are introduced and are shown to converge quasioptimally with respect to the nonlinear, best N -term approximation benchmark. As a consequence, the proposed adaptive Galerkin solution algorithms perform quasioptimally with respect to the best N -term approximation in the finite-dimensional case, in particular. All constants in our error and complexity bounds are shown to be independent of the number of “active” coordinates identified by the proposed adaptive Galerkin approximation algorithms.