Noise regularization and computations for the 1-dimensional stochastic Allen-Cahn problem
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Abstract: We address the numerical discretization of the Allen-Cahn prob- lem with additive white noise in one-dimensional space. The discretization is conducted in two stages: (1) regularize the white noise and study the regularized problem, (2) approximate the regularized problem. We address (1) by introducing a piecewise constant random approximation of the white noise with respect to a space-time mesh. We analyze the regularized problem and study its relation to both the original problem and the deterministic Allen-Cahn problem. Step (2) is then performed leading to a practical Monte-Carlo method combined with a Finite Element-Implicit Euler scheme. The resulting numerical scheme is tested against theoretical benchmark results.
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Cited in
(14)- Finite element methods for the stochastic Allen-Cahn equation with gradient-type multiplicative noise
- A Milstein scheme for SPDEs
- A fully discrete mixed finite element method for the stochastic Cahn-Hilliard equation with gradient-type multiplicative noise
- The POD-DEIM reduced-order method for stochastic Allen-Cahn equations with multiplicative noise
- A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
- A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
- The numerical approximation of stochastic partial differential equations
- Strong and weak convergence order of finite element methods for stochastic PDEs with spatial white noise
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