Analysis of some splitting schemes for the stochastic Allen-Cahn equation

Charles-Edouard Bréhier; Ludovic Goudenège

doi:10.3934/dcdsb.2019077

Article Contents

2019, Volume 24, Issue 8: 4169-4190. Doi: 10.3934/dcdsb.2019077

This issue Previous Article Backward compactness and periodicity of random attractors for stochastic wave equations with varying coefficients Next Article Applications of optimal control of a nonconvex sweeping process to optimization of the planar crowd motion model

Analysis of some splitting schemes for the stochastic Allen-Cahn equation

Charles-Edouard Bréhier^1, , and
Ludovic Goudenège^2,

1.
Univ Lyon, CNRS, Université Claude Bernard Lyon 1, UMR5208, Institut Camille Jordan, 43 boulevard du 11 novembre 1918, F-69622 Villeurbanne, France
2.
Université Paris-Saclay, CNRS - FR3487, Fédération de Mathématiques de CentraleSupélec, CentraleSupélec, 3 rue Joliot Curie, F-91190 Gif-sur-Yvette, France

^* Corresponding author: Charles-Edouard Bréhier
^* Corresponding author: Charles-Edouard Bréhier

Received: December 31, 2017

Revised: September 30, 2018

Early access: April 2019

Published: July 2019

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Abstract

We introduce and analyze an explicit time discretization scheme for the one-dimensional stochastic Allen-Cahn, driven by space-time white noise. The scheme is based on a splitting strategy, and uses the exact solution for the nonlinear term contribution.

We first prove boundedness of moments of the numerical solution. We then prove strong convergence results: first, $L^2(\Omega)$-convergence of order almost $1/4$, localized on an event of arbitrarily large probability, then convergence in probability of order almost $1/4$.

The theoretical analysis is supported by numerical experiments, concerning strong and weak orders of convergence.

Keywords:

Stochastic partial differential equations,
splitting schemes,
Allen-Cahn equation.

Mathematics Subject Classification: Primary: 65C30, 60H35; Secondary: 60H15.

Citation:

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Figure 1. Mean square error order for $T = 1$, $\Delta x = 2.5~10^{-4}$ and $10^{5}$ independent realizations

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Figure 2. Weak error order for $T = 1$, $\Delta x = 2.5~10^{-4}$ and $10^{5}$ independent realizations

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