English

On the backward Euler approximation of the stochastic Allen-Cahn equation

Numerical Analysis 2015-08-07 v3

Abstract

We consider the stochastic Allen-Cahn equation perturbed by smooth additive Gaussian noise in a spatial domain with smooth boundary in dimension d3d\le 3, and study the semidiscretization in time of the equation by an implicit Euler method. We show that the method converges pathwise with a rate O(Δtγ)O(\Delta t^{\gamma}) for any γ<12\gamma<\frac12. We also prove that the scheme converges uniformly in the strong LpL^p-sense but with no rate given.

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Cite

@article{arxiv.1311.2067,
  title  = {On the backward Euler approximation of the stochastic Allen-Cahn equation},
  author = {Mihály Kovács and Stig Larsson and Fredrik Lindgren},
  journal= {arXiv preprint arXiv:1311.2067},
  year   = {2015}
}

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16 pages