Convergence analysis of a finite difference method for stochastic Cahn--Hilliard equation
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Abstract: This paper presents the convergence analysis of the spatial finite difference method (FDM) for the stochastic Cahn--Hilliard equation with Lipschitz nonlinearity and multiplicative noise. Based on fine estimates of the discrete Green function, we prove that both the spatial semi-discrete numerical solution and its Malliavin derivative have strong convergence order . Further, by showing the negative moment estimates of the exact solution, we obtain that the density of the spatial semi-discrete numerical solution converges in to the exact one. Finally, we apply an exponential Euler method to discretize the spatial semi-discrete numerical solution in time and show that the temporal strong convergence order is nearly , where a difficulty we overcome is to derive the optimal H"older continuity of the spatial semi-discrete numerical solution.
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