Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation

Charles-Edouard Bréhier (1, 2) , Ludovic Goudenège (3)

1 PSPM - Probabilités, statistique, physique mathématique
2 ICJ - Institut Camille Jordan
3 Fédération de Mathématiques de CentraleSupélec

This article is devoted to the analysis of the weak rates of convergence of schemes introduced by the authors in a recent work, for the temporal discretization of the stochastic Allen-Cahn equation driven by space-time white noise. The schemes are based on splitting strategies and are explicit. We prove that they have a weak rate of convergence equal to 1 2 , like in the more standard case of SPDEs with globally Lipschitz continuous nonlinearity. To deal with the polynomial growth of the nonlinearity, several new estimates and techniques are used. In particular, new regularity results for solutions of related infinite dimensional Kolmogorov equations are established. Our contribution is the first one in the literature concerning weak convergence rates for parabolic semilinear SPDEs with non globally Lipschitz nonlinearities.

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

Charles-Edouard Bréhier, Ludovic Goudenège. Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation. BIT Numerical Mathematics, 2020, ⟨10.1007/s10543-019-00788-x⟩. ⟨hal-01764290v2⟩