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

被引:61
作者
Brehier, Charles-Edouard [1 ]
Cui, Jianbo [2 ,3 ]
Hong, Jialin [2 ,3 ]
机构
[1] Univ Claude Bernard Lyon 1, Univ Lyon, Inst Camille Jordan, CNRS,UMR 5208, F-69622 Villeurbanne, France
[2] Chinese Acad Sci, Acad Math & Syst Sci, ICMSEC, LSEC, Beijing 100190, Peoples R China
[3] Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
基金
中国国家自然科学基金;
关键词
stochastic Allen-Cahn equation; splitting scheme; strong convergence rate; exponential integrability; SIMULATION;
D O I
10.1093/imanum/dry052
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
This article analyses 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(delta t(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(delta t).
引用
收藏
页码:2096 / 2134
页数:39
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