English

On the discretisation in time of the stochastic Allen-Cahn equation

Numerical Analysis 2018-04-27 v3 Probability

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 semidiscretisation in time of the equation by an Euler type split-step method. We show that the method converges strongly with a rate O(Δt12)O(\Delta t^{\frac12}) . By means of a perturbation argument, we also establish the strong convergence of the standard backward Euler scheme with the same rate.

Keywords

Cite

@article{arxiv.1510.03684,
  title  = {On the discretisation in time of the stochastic Allen-Cahn equation},
  author = {Mihály Kovács and Stig Larsson and Fredrik Lindgren},
  journal= {arXiv preprint arXiv:1510.03684},
  year   = {2018}
}

Comments

32 pages. Several typos fixed, the statement and proof of Lemma 3.2 are updated and so is the proof of Lemma 5.2. The proof of Lemma 5.1 is omitted