Noise regularization and computations for the 1-dimensional stochastic Allen-Cahn problem

DOI10.4171/IFB/154zbMATH Open1129.35088arXiv1111.6312WikidataQ60149125 ScholiaQ60149125MaRDI QIDQ2372145FDOQ2372145

Authors: Markos Katsoulakis, Omar Lakkis, Georgios T. Kossioris 

Publication date: 24 July 2007

Published in: Interfaces and Free Boundaries (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1111.6312

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zbMATH Keywords

implicit Euler schemenoise regularizationAllen-Cahn problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (14)

• 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
• Optimal error estimates of Galerkin finite element methods for stochastic Allen-Cahn equation with additive noise
• On the short time asymptotic of the stochastic Allen-Cahn equation
• A spectral Galerkin exponential Euler time-stepping scheme for parabolic SPDEs on two-dimensional domains with a \(\mathcal{C}^2\) boundary
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• Numerical multi-scaling method to solve the linear stochastic partial differential equations
• Fourier spectral methods for some linear stochastic space-fractional partial differential equations
• Finite element methods for the stochastic Allen-Cahn equation with gradient-type multiplicative noise

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