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arxiv: 1510.03684 · v3 · pith:TV23WTW7new · submitted 2015-10-13 · 🧮 math.NA · math.PR

On the discretisation in time of the stochastic Allen-Cahn equation

classification 🧮 math.NA math.PR
keywords equationeulermethodratesmoothstochastictimeadditive
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We consider the stochastic Allen--Cahn equation perturbed by smooth additive Gaussian noise in a spatial domain with smooth boundary in dimension $d\le 3$, and study the semidiscretisation in time of the equation by an Euler type split-step method. We show that the method converges strongly with a rate $O(\Delta t^{\frac12}) $. By means of a perturbation argument, we also establish the strong convergence of the standard backward Euler scheme with the same rate.

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