On the backward Euler approximation of the stochastic Allen-Cahn equation

• We consider the stochastic Allen-Cahn equation perturbed by smooth additive Gaussian noise in a spatial domain with smooth boundary in dimension d ≤ 3, and study the semidiscretization in time of the equation by an implicit Euler method. We show that the method converges pathwise with a rate O(Δt^γ) for any γ < ½. We also prove that the scheme converges uniformly in the strong L^p -sense but with no rate given.

Ämnesord

NATURVETENSKAP  -- Matematik -- Beräkningsmatematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Computational Mathematics (hsv//eng)

Nyckelord

Stochastic partial differential equation

Allen-Cahn equation

additive noise

Wiener process

Euler method

pathwise convergence

strong convergence

factorization method

Wiener process

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)