On the Backward Euler Approximation of the Stochastic Allen-Cahn Equation

DOI10.1239/jap/1437658601zbMath1323.60089arXiv1311.2067OpenAlexW1562558505WikidataQ59593846 ScholiaQ59593846MaRDI QIDQ2949840

Stig Larsson, Fredrik Lindgren, Mihály Kovács

Publication date: 2 October 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.2067

zbMATH Keywords

strong convergenceWiener processimplicit Euler methodfactorization methodadditive Gaussian noisepathwise convergencestochastic Allen-Cahn equation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) (L^p)-limit theorems (60F25)

Related Items (21)

Numerical Continuation and SPDE Stability for the 2D Cubic-Quintic Allen--Cahn Equation ⋮ Strong Convergence of a Fully Discrete Finite Element Method for a Class of Semilinear Stochastic Partial Differential Equations with Multiplicative Noise ⋮ A fully discrete mixed finite element method for the stochastic Cahn-Hilliard equation with gradient-type multiplicative noise ⋮ On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients ⋮ Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise ⋮ Stochastic Allen-Cahn equation with mobility ⋮ 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 ⋮ Extended Milstein Approximation to the Stochastic Allen-Cahn Equation with Random Diffusion Coefficient Field and Multiplicative Noise ⋮ Strong convergence rates for the approximation of a stochastic time-fractional Allen-Cahn equation ⋮ An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation ⋮ 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 ⋮ Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients ⋮ Strong Convergence of a Fully Discrete Finite Element Approximation of the Stochastic Cahn--Hilliard Equation ⋮ Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise ⋮ Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations ⋮ Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise ⋮ Optimal error estimates of Galerkin finite element methods for stochastic Allen-Cahn equation with additive noise ⋮ \(L^p\)-convergence rate of backward Euler schemes for monotone SDEs ⋮ Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients

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