Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations

DOI10.1007/S40072-021-00226-6MaRDI QIDQ6163565zbMATH OpenOpenAlexWikidataFDO

Authors Sebastian Becker, Benjamn Gess, Arnulf Jentzen, Peter E. Kloeden

Publication date 26 June 2023

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1711.02423

zbMATH Keywords

numerical approximationnumerical methodSPDEstrong convergencestochastic partial differential equationstochastic Allen-Cahn equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: The scientific literature contains a number of numerical approximation results for stochastic partial differential equations (SPDEs) with superlinearly growing nonlinearities but, to the best of our knowledge, none of them prove strong or weak convergence rates for full-discrete numerical approximations of space-time white noise driven SPDEs with superlinearly growing nonlinearities. In particular, in the scientific literature there exists neither a result which proves strong convergence rates nor a result which proves weak convergence rates for full-discrete numerical approximations of stochastic Allen-Cahn equations. In this article we bridge this gap and establish strong convergence rates for full-discrete numerical approximations of space-time white noise driven SPDEs with superlinearly growing nonlinearities such as stochastic Allen-Cahn equations. Moreover, we also establish lower bounds for strong temporal and spatial approximation errors which demonstrate that our strong convergence rates are essentially sharp and can, in general, not be improved.

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Cited in

(26)

• Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations
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• On the discretisation in time of the stochastic Allen-Cahn equation

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