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

Charles-Edouard Bréhier; Ludovic Goudenège

doi:10.3934/dcdsb.2019077

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

August 2019, 24(8): 4169-4190. doi: 10.3934/dcdsb.2019077

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

Received January 2018 Revised October 2018 Published April 2019

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: Charles-Edouard Bréhier, Ludovic Goudenège. Analysis of some splitting schemes for the stochastic Allen-Cahn equation. Discrete & Continuous Dynamical Systems - B, 2019, 24 (8) : 4169-4190. doi: 10.3934/dcdsb.2019077

References:

[1]	S. Allen and J. Cahn, A macroscopic theory for antiphase boundary motion and its application to antiphase domain coarsening, Acta Metal. Mater., 27 (1979), 1085-1095. Google Scholar
[2]	R. Anton, D. Cohen and L. Quer-Sardanyons, A fully discrete approximation of the one-dimensional stochastic heat equation, to appear, IMA J. Numer. Anal., 36 (2016), 400-420. doi: 10.1093/imanum/dry060. Google Scholar
[3]	S. Becker, B. Gess, A. Jentzen and P. E. Kloeden, Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations, arXiv: 1711.02423, 2017. Google Scholar
[4]	S. Becker and A. Jentzen, Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations, Stochastic Processes and their Applications, 129 (2019), 28–69, arXiv: 1601.05756. doi: 10.1016/j.spa.2018.02.008. Google Scholar
[5]	H. Bessaih, Z. Brzeźniak and A. Millet, Splitting up method for the 2D stochastic Navier-Stokes equations, Stoch. Partial Differ. Equ. Anal. Comput., 2 (2014), 433-470. doi: 10.1007/s40072-014-0041-7. Google Scholar
[6]	H. Bessaih and A. Millet, On strong L2 convergence of numerical schemes for the stochastic 2d Navier-Stokes equations, arXiv: 1801.03548, 2018. Google Scholar
[7]	C.-E. Bréhier and A. Debussche, Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient, Journal de Mathématiques Pures et Appliquées, 129 (2018), 193-254. doi: 10.1016/j.matpur.2018.08.010. Google Scholar
[8]	C.-E. Bréhier, M. Gazeau, L. Goudenège, and M. Rousset, Analysis and simulation of rare events for SPDEs, In CEMRACS 2013–-Modelling and Simulation of Complex Systems: Stochastic and Deterministic Approaches, volume 48 of ESAIM Proc. Surveys, pages 364–384. EDP Sci., Les Ulis, 2015. doi: 10.1051/proc/201448017. Google Scholar
[9]	S. Cerrai, Second Order PDE's in Finite and Infinite Dimension, volume 1762 of Lecture Notes in Mathematics, Springer-Verlag, Berlin, 2001. A probabilistic approach. doi: 10.1007/b80743. Google Scholar
[10]	X. Chen, D. Hilhorst and E. Logak, Asymptotic behavior of solutions of an Allen-Cahn equation with a nonlocal term, Nonlinear Anal., 28 (1997), 1283-1298. doi: 10.1016/S0362-546X(97)82875-1. Google Scholar
[11]	Y. G. Chen, Y. Giga and S. Goto, Uniqueness and existence of viscosity solutions of generalized mean curvature flow equations, J. Differential Geom., 33 (1991), 749-786. doi: 10.4310/jdg/1214446564. Google Scholar
[12]	D. Conus, A. Jentzen and R. Kurniawan, Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients, Ann. Appl. Probab., 29 (2019), 653–716, arXiv: 1408.1108. doi: 10.1214/17-AAP1352. Google Scholar
[13]	G. Da Prato and J. Zabczyk, Stochastic Equations in Infinite Dimensions, volume 152 of Encyclopedia of Mathematics and its Applications, Cambridge University Press, Cambridge, second edition, 2014. doi: 10.1017/CBO9781107295513. Google Scholar
[14]	A. M. Davie and J. G. Gaines, Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations, Math. Comp., 70 (2001), 121-134. doi: 10.1090/S0025-5718-00-01224-2. Google Scholar
[15]	A. Debussche, Weak approximation of stochastic partial differential equations: The nonlinear case, Math. Comp., 80 (2011), 89-117. doi: 10.1090/S0025-5718-2010-02395-6. Google Scholar
[16]	L. C. Evans, H. M. Soner and P. E. Souganidis, Phase transitions and generalized motion by mean curvature, Comm. Pure Appl. Math., 45 (1992), 1097-1123. doi: 10.1002/cpa.3160450903. Google Scholar
[17]	L. C. Evans and J. Spruck, Motion of level sets by mean curvature. Ⅰ, J. Differential Geom., 33 (1991), 635-681. doi: 10.4310/jdg/1214446559. Google Scholar
[18]	L. C. Evans and J. Spruck, Motion of level sets by mean curvature. Ⅱ, Trans. Amer. Math. Soc., 330 (1992), 321-332. doi: 10.1090/S0002-9947-1992-1068927-8. Google Scholar
[19]	W. G. Faris and G. Jona-Lasinio, Large fluctuations for a nonlinear heat equation with noise, J. Phys. A, 15 (1982), 3025-3055. doi: 10.1088/0305-4470/15/10/011. Google Scholar
[20]	T. Funaki, The scaling limit for a stochastic PDE and the separation of phases, Probab. Theory Related Fields, 102 (1995), 221-288. doi: 10.1007/BF01213390. Google Scholar
[21]	T. Funaki, Singular limit for stochastic reaction-diffusion equation and generation of random interfaces, Acta Math. Sin. (Engl. Ser.), 15 (1999), 407-438. doi: 10.1007/BF02650735. Google Scholar
[22]	I. Gyöngy, Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. Ⅰ, Potential Anal., 9 (1998), 1-25. doi: 10.1023/A:1008615012377. Google Scholar
[23]	I. Gyöngy, Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. Ⅱ, Potential Anal., 11 (1999), 1-37. doi: 10.1023/A:1008699504438. Google Scholar
[24]	I. Gyöngy and N. Krylov, On the rate of convergence of splitting-up approximations for SPDEs, In Stochastic Inequalities and Applications, volume 56 of Progr. Probab., pages 301–321. Birkhäuser, Basel, 2003. Google Scholar
[25]	I. Gyöngy and N. Krylov, On the splitting-up method and stochastic partial differential equations, Ann. Probab., 31 (2003), 564-591. doi: 10.1214/aop/1048516528. Google Scholar
[26]	I. Gyöngy and A. Millet, On discretization schemes for stochastic evolution equations, Potential Anal., 23 (2005), 99-134. doi: 10.1007/s11118-004-5393-6. Google Scholar
[27]	I. Gyöngy and A. Millet, Rate of convergence of implicit approximations for stochastic evolution equations, In Stochastic Differential Equations: Theory and Applications, volume 2 of Interdiscip. Math. Sci., pages 281–310. World Sci. Publ., Hackensack, NJ, 2007. doi: 10.1142/9789812770639_0011. Google Scholar
[28]	I. Gyöngy and D. Nualart, Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise, Stochastic Process. Appl., 58 (1995), 57-72. doi: 10.1016/0304-4149(95)00010-5. Google Scholar
[29]	I. Gyöngy and D. Nualart, Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise, Potential Anal., 7 (1997), 725-757. doi: 10.1023/A:1017998901460. Google Scholar
[30]	I. Gyöngy, S. Sabanis and D. Šiška, Convergence of tamed Euler schemes for a class of stochastic evolution equations, Stoch. Partial Differ. Equ. Anal. Comput., 4 (2016), 225-245. doi: 10.1007/s40072-015-0057-7. Google Scholar
[31]	D. J. Higham, X. Mao and A. M. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM J. Numer. Anal., 40 (2002), 1041-1063. doi: 10.1137/S0036142901389530. Google Scholar
[32]	M. Hutzenthaler and A. Jentzen, Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients, Mem. Amer. Math. Soc., 236 (2015), v+99pp. doi: 10.1090/memo/1112. Google Scholar
[33]	M. Hutzenthaler, A. Jentzen and P. E. Kloeden, Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients, Ann. Appl. Probab., 22 (2012), 1611-1641. doi: 10.1214/11-AAP803. Google Scholar
[34]	M. Hutzenthaler, A. Jentzen and D. Salimova, Strong convergence of full-discrete nonlinearity-truncated accelerated exponential Euler-type approximations for stochastic Kuramoto-Sivashinsky equations, arXiv: 1604.02053, 2016. Google Scholar
[35]	A. Jentzen, Higher order pathwise numerical approximations of SPDEs with additive noise, SIAM J. Numer. Anal., 49 (2011), 642-667. doi: 10.1137/080740714. Google Scholar
[36]	A. Jentzen, P. Kloeden and G. Winkel, Efficient simulation of nonlinear parabolic SPDEs with additive noise, Ann. Appl. Probab., 21 (2011), 908-950. doi: 10.1214/10-AAP711. Google Scholar
[37]	A. Jentzen and P. E. Kloeden, Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise, Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci., 465 (2009), 649-667. doi: 10.1098/rspa.2008.0325. Google Scholar
[38]	A. Jentzen and P. E. Kloeden, Taylor Approximations for Stochastic Partial Differential Equations, volume 83 of CBMS-NSF Regional Conference Series in Applied Mathematics, Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 2011. doi: 10.1137/1.9781611972016. Google Scholar
[39]	A. Jentzen and R. Kurniawan, Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients, arXiv: 1501.03539, 2015. Google Scholar
[40]	A. Jentzen and P. Pušnik, Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities, arXiv: 1504.03523, 2015. Google Scholar
[41]	A. Jentzen and P. Pušnik, Exponential moments for numerical approximations of stochastic partial differential equations, Stochastics and Partial Differential Equations: Analysis and Computations, 6 (2018), 565–617, arXiv: 1609.07031, 2016. doi: 10.1007/s40072-018-0116-y. Google Scholar
[42]	A. Jentzen, D. Salimova and T. Welti, Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations, Journal of Mathematical Analysis and Applications, 469 (2019), 661–704, arXiv: 1710.07123, 2017. doi: 10.1016/j.jmaa.2018.09.032. Google Scholar
[43]	D. Jeong, S. Lee, D. Lee, J. Shin and J. Kim, Comparison study of numerical methods for solving the Allen–Cahn equation, Computational Materials Science, 111 (2016), 131-136. doi: 10.1016/j.commatsci.2015.09.005. Google Scholar
[44]	M. A. Katsoulakis, G. T. Kossioris and O. Lakkis, Noise regularization and computations for the 1-dimensional stochastic Allen-Cahn problem, Interfaces Free Bound., 9 (2007), 1-30. doi: 10.4171/IFB/154. Google Scholar
[45]	P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, volume 23 of Applications of Mathematics (New York), Springer-Verlag, Berlin, 1992. doi: 10.1007/978-3-662-12616-5. Google Scholar
[46]	P. E. Kloeden and S. Shott, Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs, J. Appl. Math. Stochastic Anal., 14 (2001), 47–53. Special issue: Advances in applied stochastics. doi: 10.1155/S1048953301000053. Google Scholar
[47]	R. Kohn, F. Otto, M. G. Reznikoff and E. Vanden-Eijnden, Action minimization and sharp-interface limits for the stochastic Allen-Cahn equation, Comm. Pure Appl. Math., 60 (2007), 393-438. doi: 10.1002/cpa.20144. Google Scholar
[48]	M. Kovács, S. Larsson and F. Lindgren, On the backward Euler approximation of the stochastic Allen-Cahn equation, J. Appl. Probab., 52 (2015), 323-338. doi: 10.1239/jap/1437658601. Google Scholar
[49]	M. Kovács, S. Larsson and F. Lindgren, On the discretisation in time of the stochastic Allen-Cahn equation, Math. Nachr., 291 (2018), 966-995. doi: 10.1002/mana.201600283. Google Scholar
[50]	R. Kruse, Strong and Weak Approximation of Semilinear Stochastic Evolution Equations, volume 2093 of Lecture Notes in Mathematics, Springer, Cham, 2014. doi: 10.1007/978-3-319-02231-4. Google Scholar
[51]	H. G. Lee and J.-Y. Lee, A second order operator splitting method for Allen–Cahn type equations with nonlinear source terms, Physica A: Statistical Mechanics and its Applications, 432 (2015), 24-34. doi: 10.1016/j.physa.2015.03.012. Google Scholar
[52]	Z. Liu and Z. Qiao, Wong–Zakai approximations of stochastic Allen-Cahn equation, arXiv: 1710.09539, 2017. Google Scholar
[53]	G. J. Lord, C. E. Powell and T. Shardlow, An Introduction to Computational Stochastic PDEs, Cambridge Texts in Applied Mathematics. Cambridge University Press, New York, 2014. doi: 10.1017/CBO9781139017329. Google Scholar
[54]	G. J. Lord and A. Tambue, Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise, IMA J. Numer. Anal., 33 (2013), 515-543. doi: 10.1093/imanum/drr059. Google Scholar
[55]	G. N. Milstein, Numerical Integration of Stochastic Differential Equations, volume 313 of Mathematics and its Applications, Kluwer Academic Publishers Group, Dordrecht, 1995. Translated and revised from the 1988 Russian original. doi: 10.1007/978-94-015-8455-5. Google Scholar
[56]	G. N. Milstein and M. V. Tretyakov, Numerical integration of stochastic differential equations with nonglobally Lipschitz coefficients, SIAM J. Numer. Anal., 43 (2005), 1139-1154. doi: 10.1137/040612026. Google Scholar
[57]	J. Printems, On the discretization in time of parabolic stochastic partial differential equations, M2AN Math. Model. Numer. Anal., 35 (2001), 1055-1078. doi: 10.1051/m2an:2001148. Google Scholar
[58]	J. Rolland, F. Bouchet and E. Simonnet, Computing transition rates for the 1-d stochastic Ginzburg–Landau–Allen–Cahn equation for finite-amplitude noise with a rare event algorithm, Journal of Statistical Physics, 162 (2016), 277-311. doi: 10.1007/s10955-015-1417-4. Google Scholar
[59]	E. Vanden-Eijnden and J. Weare, Rare event simulation of small noise diffusions, Comm. Pure Appl. Math., 65 (2012), 1770-1803. doi: 10.1002/cpa.21428. Google Scholar
[60]	X. Wang, Strong convergence rates of the linear implicit Euler method for the finite element discretization of SPDEs with additive noise, IMA J. Numer. Anal., 37 (2017), 965-984. doi: 10.1093/imanum/drw016. Google Scholar
[61]	X. Wang, An efficient explicit full discrete scheme for strong approximation of stochastic allen-cahn equation, arXiv: 1802.09413, 2018. Google Scholar
[62]	H. Weber, On the short time asymptotic of the stochastic Allen-Cahn equation, Ann. Inst. Henri Poincaré Probab. Stat., 46 (2010), 965-975. doi: 10.1214/09-AIHP333. Google Scholar

show all references

References:

[1]	S. Allen and J. Cahn, A macroscopic theory for antiphase boundary motion and its application to antiphase domain coarsening, Acta Metal. Mater., 27 (1979), 1085-1095. Google Scholar
[2]	R. Anton, D. Cohen and L. Quer-Sardanyons, A fully discrete approximation of the one-dimensional stochastic heat equation, to appear, IMA J. Numer. Anal., 36 (2016), 400-420. doi: 10.1093/imanum/dry060. Google Scholar
[3]	S. Becker, B. Gess, A. Jentzen and P. E. Kloeden, Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations, arXiv: 1711.02423, 2017. Google Scholar
[4]	S. Becker and A. Jentzen, Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations, Stochastic Processes and their Applications, 129 (2019), 28–69, arXiv: 1601.05756. doi: 10.1016/j.spa.2018.02.008. Google Scholar
[5]	H. Bessaih, Z. Brzeźniak and A. Millet, Splitting up method for the 2D stochastic Navier-Stokes equations, Stoch. Partial Differ. Equ. Anal. Comput., 2 (2014), 433-470. doi: 10.1007/s40072-014-0041-7. Google Scholar
[6]	H. Bessaih and A. Millet, On strong L2 convergence of numerical schemes for the stochastic 2d Navier-Stokes equations, arXiv: 1801.03548, 2018. Google Scholar
[7]	C.-E. Bréhier and A. Debussche, Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient, Journal de Mathématiques Pures et Appliquées, 129 (2018), 193-254. doi: 10.1016/j.matpur.2018.08.010. Google Scholar
[8]	C.-E. Bréhier, M. Gazeau, L. Goudenège, and M. Rousset, Analysis and simulation of rare events for SPDEs, In CEMRACS 2013–-Modelling and Simulation of Complex Systems: Stochastic and Deterministic Approaches, volume 48 of ESAIM Proc. Surveys, pages 364–384. EDP Sci., Les Ulis, 2015. doi: 10.1051/proc/201448017. Google Scholar
[9]	S. Cerrai, Second Order PDE's in Finite and Infinite Dimension, volume 1762 of Lecture Notes in Mathematics, Springer-Verlag, Berlin, 2001. A probabilistic approach. doi: 10.1007/b80743. Google Scholar
[10]	X. Chen, D. Hilhorst and E. Logak, Asymptotic behavior of solutions of an Allen-Cahn equation with a nonlocal term, Nonlinear Anal., 28 (1997), 1283-1298. doi: 10.1016/S0362-546X(97)82875-1. Google Scholar
[11]	Y. G. Chen, Y. Giga and S. Goto, Uniqueness and existence of viscosity solutions of generalized mean curvature flow equations, J. Differential Geom., 33 (1991), 749-786. doi: 10.4310/jdg/1214446564. Google Scholar
[12]	D. Conus, A. Jentzen and R. Kurniawan, Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients, Ann. Appl. Probab., 29 (2019), 653–716, arXiv: 1408.1108. doi: 10.1214/17-AAP1352. Google Scholar
[13]	G. Da Prato and J. Zabczyk, Stochastic Equations in Infinite Dimensions, volume 152 of Encyclopedia of Mathematics and its Applications, Cambridge University Press, Cambridge, second edition, 2014. doi: 10.1017/CBO9781107295513. Google Scholar
[14]	A. M. Davie and J. G. Gaines, Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations, Math. Comp., 70 (2001), 121-134. doi: 10.1090/S0025-5718-00-01224-2. Google Scholar
[15]	A. Debussche, Weak approximation of stochastic partial differential equations: The nonlinear case, Math. Comp., 80 (2011), 89-117. doi: 10.1090/S0025-5718-2010-02395-6. Google Scholar
[16]	L. C. Evans, H. M. Soner and P. E. Souganidis, Phase transitions and generalized motion by mean curvature, Comm. Pure Appl. Math., 45 (1992), 1097-1123. doi: 10.1002/cpa.3160450903. Google Scholar
[17]	L. C. Evans and J. Spruck, Motion of level sets by mean curvature. Ⅰ, J. Differential Geom., 33 (1991), 635-681. doi: 10.4310/jdg/1214446559. Google Scholar
[18]	L. C. Evans and J. Spruck, Motion of level sets by mean curvature. Ⅱ, Trans. Amer. Math. Soc., 330 (1992), 321-332. doi: 10.1090/S0002-9947-1992-1068927-8. Google Scholar
[19]	W. G. Faris and G. Jona-Lasinio, Large fluctuations for a nonlinear heat equation with noise, J. Phys. A, 15 (1982), 3025-3055. doi: 10.1088/0305-4470/15/10/011. Google Scholar
[20]	T. Funaki, The scaling limit for a stochastic PDE and the separation of phases, Probab. Theory Related Fields, 102 (1995), 221-288. doi: 10.1007/BF01213390. Google Scholar
[21]	T. Funaki, Singular limit for stochastic reaction-diffusion equation and generation of random interfaces, Acta Math. Sin. (Engl. Ser.), 15 (1999), 407-438. doi: 10.1007/BF02650735. Google Scholar
[22]	I. Gyöngy, Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. Ⅰ, Potential Anal., 9 (1998), 1-25. doi: 10.1023/A:1008615012377. Google Scholar
[23]	I. Gyöngy, Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. Ⅱ, Potential Anal., 11 (1999), 1-37. doi: 10.1023/A:1008699504438. Google Scholar
[24]	I. Gyöngy and N. Krylov, On the rate of convergence of splitting-up approximations for SPDEs, In Stochastic Inequalities and Applications, volume 56 of Progr. Probab., pages 301–321. Birkhäuser, Basel, 2003. Google Scholar
[25]	I. Gyöngy and N. Krylov, On the splitting-up method and stochastic partial differential equations, Ann. Probab., 31 (2003), 564-591. doi: 10.1214/aop/1048516528. Google Scholar
[26]	I. Gyöngy and A. Millet, On discretization schemes for stochastic evolution equations, Potential Anal., 23 (2005), 99-134. doi: 10.1007/s11118-004-5393-6. Google Scholar
[27]	I. Gyöngy and A. Millet, Rate of convergence of implicit approximations for stochastic evolution equations, In Stochastic Differential Equations: Theory and Applications, volume 2 of Interdiscip. Math. Sci., pages 281–310. World Sci. Publ., Hackensack, NJ, 2007. doi: 10.1142/9789812770639_0011. Google Scholar
[28]	I. Gyöngy and D. Nualart, Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise, Stochastic Process. Appl., 58 (1995), 57-72. doi: 10.1016/0304-4149(95)00010-5. Google Scholar
[29]	I. Gyöngy and D. Nualart, Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise, Potential Anal., 7 (1997), 725-757. doi: 10.1023/A:1017998901460. Google Scholar
[30]	I. Gyöngy, S. Sabanis and D. Šiška, Convergence of tamed Euler schemes for a class of stochastic evolution equations, Stoch. Partial Differ. Equ. Anal. Comput., 4 (2016), 225-245. doi: 10.1007/s40072-015-0057-7. Google Scholar
[31]	D. J. Higham, X. Mao and A. M. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM J. Numer. Anal., 40 (2002), 1041-1063. doi: 10.1137/S0036142901389530. Google Scholar
[32]	M. Hutzenthaler and A. Jentzen, Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients, Mem. Amer. Math. Soc., 236 (2015), v+99pp. doi: 10.1090/memo/1112. Google Scholar
[33]	M. Hutzenthaler, A. Jentzen and P. E. Kloeden, Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients, Ann. Appl. Probab., 22 (2012), 1611-1641. doi: 10.1214/11-AAP803. Google Scholar
[34]	M. Hutzenthaler, A. Jentzen and D. Salimova, Strong convergence of full-discrete nonlinearity-truncated accelerated exponential Euler-type approximations for stochastic Kuramoto-Sivashinsky equations, arXiv: 1604.02053, 2016. Google Scholar
[35]	A. Jentzen, Higher order pathwise numerical approximations of SPDEs with additive noise, SIAM J. Numer. Anal., 49 (2011), 642-667. doi: 10.1137/080740714. Google Scholar
[36]	A. Jentzen, P. Kloeden and G. Winkel, Efficient simulation of nonlinear parabolic SPDEs with additive noise, Ann. Appl. Probab., 21 (2011), 908-950. doi: 10.1214/10-AAP711. Google Scholar
[37]	A. Jentzen and P. E. Kloeden, Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise, Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci., 465 (2009), 649-667. doi: 10.1098/rspa.2008.0325. Google Scholar
[38]	A. Jentzen and P. E. Kloeden, Taylor Approximations for Stochastic Partial Differential Equations, volume 83 of CBMS-NSF Regional Conference Series in Applied Mathematics, Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 2011. doi: 10.1137/1.9781611972016. Google Scholar
[39]	A. Jentzen and R. Kurniawan, Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients, arXiv: 1501.03539, 2015. Google Scholar
[40]	A. Jentzen and P. Pušnik, Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities, arXiv: 1504.03523, 2015. Google Scholar
[41]	A. Jentzen and P. Pušnik, Exponential moments for numerical approximations of stochastic partial differential equations, Stochastics and Partial Differential Equations: Analysis and Computations, 6 (2018), 565–617, arXiv: 1609.07031, 2016. doi: 10.1007/s40072-018-0116-y. Google Scholar
[42]	A. Jentzen, D. Salimova and T. Welti, Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations, Journal of Mathematical Analysis and Applications, 469 (2019), 661–704, arXiv: 1710.07123, 2017. doi: 10.1016/j.jmaa.2018.09.032. Google Scholar
[43]	D. Jeong, S. Lee, D. Lee, J. Shin and J. Kim, Comparison study of numerical methods for solving the Allen–Cahn equation, Computational Materials Science, 111 (2016), 131-136. doi: 10.1016/j.commatsci.2015.09.005. Google Scholar
[44]	M. A. Katsoulakis, G. T. Kossioris and O. Lakkis, Noise regularization and computations for the 1-dimensional stochastic Allen-Cahn problem, Interfaces Free Bound., 9 (2007), 1-30. doi: 10.4171/IFB/154. Google Scholar
[45]	P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, volume 23 of Applications of Mathematics (New York), Springer-Verlag, Berlin, 1992. doi: 10.1007/978-3-662-12616-5. Google Scholar
[46]	P. E. Kloeden and S. Shott, Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs, J. Appl. Math. Stochastic Anal., 14 (2001), 47–53. Special issue: Advances in applied stochastics. doi: 10.1155/S1048953301000053. Google Scholar
[47]	R. Kohn, F. Otto, M. G. Reznikoff and E. Vanden-Eijnden, Action minimization and sharp-interface limits for the stochastic Allen-Cahn equation, Comm. Pure Appl. Math., 60 (2007), 393-438. doi: 10.1002/cpa.20144. Google Scholar
[48]	M. Kovács, S. Larsson and F. Lindgren, On the backward Euler approximation of the stochastic Allen-Cahn equation, J. Appl. Probab., 52 (2015), 323-338. doi: 10.1239/jap/1437658601. Google Scholar
[49]	M. Kovács, S. Larsson and F. Lindgren, On the discretisation in time of the stochastic Allen-Cahn equation, Math. Nachr., 291 (2018), 966-995. doi: 10.1002/mana.201600283. Google Scholar
[50]	R. Kruse, Strong and Weak Approximation of Semilinear Stochastic Evolution Equations, volume 2093 of Lecture Notes in Mathematics, Springer, Cham, 2014. doi: 10.1007/978-3-319-02231-4. Google Scholar
[51]	H. G. Lee and J.-Y. Lee, A second order operator splitting method for Allen–Cahn type equations with nonlinear source terms, Physica A: Statistical Mechanics and its Applications, 432 (2015), 24-34. doi: 10.1016/j.physa.2015.03.012. Google Scholar
[52]	Z. Liu and Z. Qiao, Wong–Zakai approximations of stochastic Allen-Cahn equation, arXiv: 1710.09539, 2017. Google Scholar
[53]	G. J. Lord, C. E. Powell and T. Shardlow, An Introduction to Computational Stochastic PDEs, Cambridge Texts in Applied Mathematics. Cambridge University Press, New York, 2014. doi: 10.1017/CBO9781139017329. Google Scholar
[54]	G. J. Lord and A. Tambue, Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise, IMA J. Numer. Anal., 33 (2013), 515-543. doi: 10.1093/imanum/drr059. Google Scholar
[55]	G. N. Milstein, Numerical Integration of Stochastic Differential Equations, volume 313 of Mathematics and its Applications, Kluwer Academic Publishers Group, Dordrecht, 1995. Translated and revised from the 1988 Russian original. doi: 10.1007/978-94-015-8455-5. Google Scholar
[56]	G. N. Milstein and M. V. Tretyakov, Numerical integration of stochastic differential equations with nonglobally Lipschitz coefficients, SIAM J. Numer. Anal., 43 (2005), 1139-1154. doi: 10.1137/040612026. Google Scholar
[57]	J. Printems, On the discretization in time of parabolic stochastic partial differential equations, M2AN Math. Model. Numer. Anal., 35 (2001), 1055-1078. doi: 10.1051/m2an:2001148. Google Scholar
[58]	J. Rolland, F. Bouchet and E. Simonnet, Computing transition rates for the 1-d stochastic Ginzburg–Landau–Allen–Cahn equation for finite-amplitude noise with a rare event algorithm, Journal of Statistical Physics, 162 (2016), 277-311. doi: 10.1007/s10955-015-1417-4. Google Scholar
[59]	E. Vanden-Eijnden and J. Weare, Rare event simulation of small noise diffusions, Comm. Pure Appl. Math., 65 (2012), 1770-1803. doi: 10.1002/cpa.21428. Google Scholar
[60]	X. Wang, Strong convergence rates of the linear implicit Euler method for the finite element discretization of SPDEs with additive noise, IMA J. Numer. Anal., 37 (2017), 965-984. doi: 10.1093/imanum/drw016. Google Scholar
[61]	X. Wang, An efficient explicit full discrete scheme for strong approximation of stochastic allen-cahn equation, arXiv: 1802.09413, 2018. Google Scholar
[62]	H. Weber, On the short time asymptotic of the stochastic Allen-Cahn equation, Ann. Inst. Henri Poincaré Probab. Stat., 46 (2010), 965-975. doi: 10.1214/09-AIHP333. Google Scholar

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

Figure Options

Download full-size image

Download as PowerPoint slide

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

Figure Options

Download full-size image

Download as PowerPoint slide

[1]	Gianni Gilardi. On an Allen-Cahn type integrodifferential equation. Discrete & Continuous Dynamical Systems - S, 2013, 6 (3) : 703-709. doi: 10.3934/dcdss.2013.6.703
[2]	Georgia Karali, Yuko Nagase. On the existence of solution for a Cahn-Hilliard/Allen-Cahn equation. Discrete & Continuous Dynamical Systems - S, 2014, 7 (1) : 127-137. doi: 10.3934/dcdss.2014.7.127
[3]	Christopher P. Grant. Grain sizes in the discrete Allen-Cahn and Cahn-Hilliard equations. Discrete & Continuous Dynamical Systems, 2001, 7 (1) : 127-146. doi: 10.3934/dcds.2001.7.127
[4]	Jie Shen, Xiaofeng Yang. Numerical approximations of Allen-Cahn and Cahn-Hilliard equations. Discrete & Continuous Dynamical Systems, 2010, 28 (4) : 1669-1691. doi: 10.3934/dcds.2010.28.1669
[5]	Alain Miranville, Wafa Saoud, Raafat Talhouk. On the Cahn-Hilliard/Allen-Cahn equations with singular potentials. Discrete & Continuous Dynamical Systems - B, 2019, 24 (8) : 3633-3651. doi: 10.3934/dcdsb.2018308
[6]	Luca Calatroni, Bertram Düring, Carola-Bibiane Schönlieb. ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing. Discrete & Continuous Dynamical Systems, 2014, 34 (3) : 931-957. doi: 10.3934/dcds.2014.34.931
[7]	Hongmei Cheng, Rong Yuan. Multidimensional stability of disturbed pyramidal traveling fronts in the Allen-Cahn equation. Discrete & Continuous Dynamical Systems - B, 2015, 20 (4) : 1015-1029. doi: 10.3934/dcdsb.2015.20.1015
[8]	Murat Uzunca, Ayşe Sarıaydın-Filibelioǧlu. Adaptive discontinuous galerkin finite elements for advective Allen-Cahn equation. Numerical Algebra, Control & Optimization, 2021, 11 (2) : 269-281. doi: 10.3934/naco.2020025
[9]	Tatsuki Mori, Kousuke Kuto, Tohru Tsujikawa, Shoji Yotsutani. Representation formulas of solutions and bifurcation sheets to a nonlocal Allen-Cahn equation. Discrete & Continuous Dynamical Systems, 2020, 40 (8) : 4907-4925. doi: 10.3934/dcds.2020205
[10]	Xinlong Feng, Huailing Song, Tao Tang, Jiang Yang. Nonlinear stability of the implicit-explicit methods for the Allen-Cahn equation. Inverse Problems & Imaging, 2013, 7 (3) : 679-695. doi: 10.3934/ipi.2013.7.679
[11]	Christos Sourdis. On the growth of the energy of entire solutions to the vector Allen-Cahn equation. Communications on Pure & Applied Analysis, 2015, 14 (2) : 577-584. doi: 10.3934/cpaa.2015.14.577
[12]	Paul H. Rabinowitz, Ed Stredulinsky. On a class of infinite transition solutions for an Allen-Cahn model equation. Discrete & Continuous Dynamical Systems, 2008, 21 (1) : 319-332. doi: 10.3934/dcds.2008.21.319
[13]	Ciprian G. Gal, Maurizio Grasselli. The non-isothermal Allen-Cahn equation with dynamic boundary conditions. Discrete & Continuous Dynamical Systems, 2008, 22 (4) : 1009-1040. doi: 10.3934/dcds.2008.22.1009
[14]	Eleonora Cinti. Saddle-shaped solutions for the fractional Allen-Cahn equation. Discrete & Continuous Dynamical Systems - S, 2018, 11 (3) : 441-463. doi: 10.3934/dcdss.2018024
[15]	Zhuoran Du, Baishun Lai. Transition layers for an inhomogeneous Allen-Cahn equation in Riemannian manifolds. Discrete & Continuous Dynamical Systems, 2013, 33 (4) : 1407-1429. doi: 10.3934/dcds.2013.33.1407
[16]	Hirokazu Ninomiya, Masaharu Taniguchi. Global stability of traveling curved fronts in the Allen-Cahn equations. Discrete & Continuous Dynamical Systems, 2006, 15 (3) : 819-832. doi: 10.3934/dcds.2006.15.819
[17]	Changchun Liu, Hui Tang. Existence of periodic solution for a Cahn-Hilliard/Allen-Cahn equation in two space dimensions. Evolution Equations & Control Theory, 2017, 6 (2) : 219-237. doi: 10.3934/eect.2017012
[18]	Cristina Pocci. On singular limit of a nonlinear $p$-order equation related to Cahn-Hilliard and Allen-Cahn evolutions. Evolution Equations & Control Theory, 2013, 2 (3) : 517-530. doi: 10.3934/eect.2013.2.517
[19]	Juan Wen, Yaling He, Yinnian He, Kun Wang. Stabilized finite element methods based on multiscale enrichment for Allen-Cahn and Cahn-Hilliard equations. Communications on Pure & Applied Analysis, , () : -. doi: 10.3934/cpaa.2021074
[20]	Suting Wei, Jun Yang. Clustering phase transition layers with boundary intersection for an inhomogeneous Allen-Cahn equation. Communications on Pure & Applied Analysis, 2020, 19 (5) : 2575-2616. doi: 10.3934/cpaa.2020113

2019 Impact Factor: 1.27

Tools

Metrics

Tools

Article outline

Figures and Tables

2019 Impact Factor: 1.27

Tools

Figures and Tables

2019 Impact Factor: 1.27

American Institute of Mathematical Sciences

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

References:

References:

Tools

Metrics

Other articles
by authors

Tools

Tools

Tools

Metrics

Other articles
by authors

American Institute of Mathematical Sciences

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

References:

References:

Tools

Metrics

Other articlesby authors

Tools

Tools

Tools

Metrics

Other articlesby authors

Other articles
by authors

Other articles
by authors