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

DOI10.1007/S40072-021-00226-6zbMATH Open1517.60081arXiv1711.02423OpenAlexW2767712785WikidataQ114219545 ScholiaQ114219545MaRDI QIDQ6163565FDOQ6163565

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)

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.

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

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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)

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Cited In (26)

• \(L^p\)-convergence rate of backward Euler schemes for monotone SDEs
• Strong convergence of parabolic rate 1 of discretisations of stochastic Allen-Cahn-type equations
• 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
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• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
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• On the backward Euler approximation of the stochastic Allen-Cahn equation
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• Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift
• Strong and weak convergence rates of a spatial approximation for stochastic partial differential equation with one-sided Lipschitz coefficient
• Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen-Cahn equation

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