Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise

DOI10.1515/cmam-2017-0023zbMath1404.65178arXiv1705.09997OpenAlexW3103961823MaRDI QIDQ1642864

Ananta K. Majee, Andreas Prohl

Publication date: 15 June 2018

Published in: Computational Methods in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.09997

zbMATH Keywords

monotone operatorvariational solutionstochastic Allen-Cahn equationstrong rate of convergence

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Functional analysis in probabilistic metric linear spaces (46S50) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (20)

Strong Convergence of a Fully Discrete Finite Element Method for a Class of Semilinear Stochastic Partial Differential Equations with Multiplicative Noise ⋮ Numerical approximation of the stochastic Cahn-Hilliard equation near the sharp interface limit ⋮ A fully discrete mixed finite element method for the stochastic Cahn-Hilliard equation with gradient-type multiplicative noise ⋮ Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise ⋮ Numerical approximation of nonlinear SPDE's ⋮ An efficient approximation to the stochastic Allen-Cahn equation with random diffusion coefficient field and multiplicative noise ⋮ Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation ⋮ Finite Element Methods for the Stochastic Allen--Cahn Equation with Gradient-type Multiplicative Noise ⋮ Extended Milstein Approximation to the Stochastic Allen-Cahn Equation with Random Diffusion Coefficient Field and Multiplicative Noise ⋮ Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations ⋮ Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients ⋮ Stability and convergence analysis of a fully discrete semi-implicit scheme for stochastic Allen-Cahn equations with multiplicative noise ⋮ Error Estimates of Semidiscrete and Fully Discrete Finite Element Methods for the Cahn--Hilliard--Cook equation ⋮ Some algorithms for the mean curvature flow under topological changes ⋮ An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems ⋮ Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise ⋮ Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient ⋮ Optimal error estimates of Galerkin finite element methods for stochastic Allen-Cahn equation with additive noise ⋮ The BDF2-Maruyama method for the stochastic Allen-Cahn equation with multiplicative noise ⋮ Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• Rate of convergence of space time approximations for stochastic evolution equations
• The stability in L\(^q\) of the L\(^2\)-projection into finite element function spaces
• Strong solutions for stochastic partial differential equations of gradient type
• Finite Element Approximation of the Cahn–Hilliard–Cook Equation
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Rates of Convergence for Discretizations of the Stochastic Incompressible Navier--Stokes Equations
• Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition
• On the discretization in time of parabolic stochastic partial differential equations

This page was built for publication: Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise