Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen-Cahn equation

DOI10.1093/IMANUM/DRY052MaRDI QIDQ5243265zbMATH OpenOpenAlexWikidataFDO

Authors Charles-Edouard Bréhier, Jianbo Cui, Jialin Hong

Publication date 18 November 2019

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.06372

zbMATH Keywords

splitting schemestochastic Allen-Cahn equationexponential integrabilitystrong convergence rate

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Abstract: This article analyzes an explicit temporal splitting numerical scheme for the stochastic Allen-Cahn equation driven by additive noise, in a bounded spatial domain with smooth boundary in dimension $dle3$. The splitting strategy is combined with an exponential Euler scheme of an auxiliary problem. When $d=1$ and the driving noise is a space-time white noise, we first show some a priori estimates of this splitting scheme. Using the monotonicity of the drift nonlinearity, we then prove that under very mild assumptions on the initial data, this scheme achieves the optimal strong convergence rate $OO(delta{t}^{frac14})$. When $dle3$ and the driving noise possesses some regularity in space, we study exponential integrability properties of the exact and numerical solutions. Finally, in dimension $d=1$, these properties are used to prove that the splitting scheme has a strong convergence rate $OO(deltat)$.

Recommendations

• Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
• Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
• On the discretisation in time of the stochastic Allen-Cahn equation
• Strong Convergence of Full Discretization for Stochastic Cahn--Hilliard Equation Driven by Additive Noise
• On the backward Euler approximation of the stochastic Allen-Cahn equation

Cited in

(48)

• Strongly convergent error analysis for a spatially semidiscrete approximation of stochastic partial differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence analysis of spectral fractional diffusion equation driven by Gaussian noise with Hurst parameter less than \(\frac{1}{2}\)
• \(L^p\)-convergence rate of backward Euler schemes for monotone SDEs
• Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation
• Strong convergence of parabolic rate 1 of discretisations of stochastic Allen-Cahn-type equations
• Convergence rates of the splitting scheme for parabolic linear stochastic Cauchy problems
• Error Estimates of Semidiscrete and Fully Discrete Finite Element Methods for the Cahn--Hilliard--Cook equation
• On the discretisation in time of the stochastic Allen-Cahn equation
• Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients
• Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations
• Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
• Convergence rate for Galerkin approximation of the stochastic Allen-Cahn equations on 2D torus
• Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations
• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
• Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise
• An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation
• Optimal error estimates of a discontinuous Galerkin method for stochastic Allen-Cahn equation driven by multiplicative noise
• Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
• Optimal error estimates of Galerkin finite element methods for stochastic Allen-Cahn equation with additive noise
• Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
• Convergence of an operator splitting scheme for abstract stochastic evolution equations
• Absolute continuity and numerical approximation of stochastic Cahn-Hilliard equation with unbounded noise diffusion
• Splitting for some classes of homeomorphic and coalescing stochastic flows
• Splitting integrators for linear Vlasov equations with stochastic perturbations
• Strong convergence rate of an exponentially integrable scheme for stochastic nonlinear wave equation
• Numerical analysis of the stochastic FitzHugh-Nagumo model driven by multiplicative noise based on the spectral Galerkin method
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Splitting schemes for FitzHugh-Nagumo stochastic partial differential equations
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Strong Convergence of Full Discretization for Stochastic Cahn--Hilliard Equation Driven by Additive Noise
• Strong approximation of monotone stochastic partial differential equations driven by white noise
• On the convergence rate of the splitting-up scheme for rough partial differential equations
• Weak error analysis for the stochastic Allen-Cahn equation
• Improved error estimates for a modified exponential Euler method for the semilinear stochastic heat equation with rough initial data
• Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
• Lower and upper bounds for strong approximation errors for numerical approximations of stochastic heat equations
• Strong convergence rates for the approximation of a stochastic time-fractional Allen-Cahn equation
• An efficient approximation to the stochastic Allen-Cahn equation with random diffusion coefficient field and multiplicative noise
• On the backward Euler approximation of the stochastic Allen-Cahn equation
• Exponential integrators for stochastic Maxwell's equations driven by Itô noise
• Stability and convergence analysis of a fully discrete semi-implicit scheme for stochastic Allen-Cahn equations with multiplicative noise
• Strong convergence rates for a full discretization of stochastic wave equation with nonlinear damping
• Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
• The BDF2-Maruyama method for the stochastic Allen-Cahn equation with multiplicative noise
• A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations
• Third-order accurate, large time-stepping and maximum-principle-preserving schemes for the Allen-Cahn equation
• Extended Milstein Approximation to the Stochastic Allen-Cahn Equation with Random Diffusion Coefficient Field and Multiplicative Noise

This page was built for publication: Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen-Cahn equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5243265)