Strong convergence rates of semi-discrete splitting approximations for stochastic Allen–Cahn equation

Charles-Edouard Bréhier (1, 2) , Jianbo Cui , Jialin Hong

1 PSPM - Probabilités, statistique, physique mathématique
2 ICJ - Institut Camille Jordan

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 d ≤ 3. 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 O(δt 1 4). When d ≤ 3 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 O(δt).

Domaines: Probabilités [math.PR]; Analyse numérique [math.NA]

Charles-Edouard Bréhier, Jianbo Cui, Jialin Hong. Strong convergence rates of semi-discrete splitting approximations for stochastic Allen–Cahn equation. IMA Journal of Numerical Analysis, 2019, ⟨10.1093/imanum/dry052⟩. ⟨hal-01714836⟩