Weak error analysis for the stochastic Allen-Cahn equation
Numerical Analysis
2023-09-18 v2 Numerical Analysis
Analysis of PDEs
Probability
Abstract
We prove strong rate resp. weak rate for a structure preserving temporal discretization (with the step size) of the stochastic Allen-Cahn equation with additive resp. multiplicative colored noise in dimensions. Direct variational arguments exploit the one-sided Lipschitz property of the cubic nonlinearity in the first setting to settle first order strong rate. It is the same property which allows for uniform bounds for the derivatives of the solution of the related Kolmogorov equation, and then leads to weak rate in the presence of multiplicative noise. Hence, we obtain twice the rate of convergence known for the strong error in the presence of multiplicative noise.
Cite
@article{arxiv.2210.02051,
title = {Weak error analysis for the stochastic Allen-Cahn equation},
author = {Dominic Breit and Andreas Prohl},
journal= {arXiv preprint arXiv:2210.02051},
year = {2023}
}