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Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise. (English) Zbl 1404.65178

Summary: The stochastic Allen-Cahn equation with multiplicative noise involves the nonlinear drift operator \(\mathscr{A}(x) = \Delta x-(|x|^2-1)x\). We use the fact that \(\mathscr{A}(x)= - \mathcal{J}^\prime(x)\) satisfies a weak monotonicity property to deduce uniform bounds in strong norms for solutions of the temporal, as well as of the spatio-temporal discretization of the problem. This weak monotonicity property then allows for the estimate \[ \mathop{\sup} \limits_{1 \leq j \leq J} \mathbb{E} [\|X_{t_j} - Y^j \|_{\mathbb{L}^2}^2] \leq C_\delta(k^{1-\delta}+h^2) \] for all small \(\delta > 0\), where \(X\) is the strong variational solution of the stochastic Allen-Cahn equation, while \(\{Y^j : 0 \leq j \leq J\}\) solves a structure preserving finite element based space-time discretization of the problem on a temporal mesh \(\{t_j : 1 \leq j \leq J\}\) of size \(k > 0\) which covers \([0,T]\).

MSC:

65M60 Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs
35R60 PDEs with randomness, stochastic partial differential equations
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
65M75 Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs
46S50 Functional analysis in probabilistic metric linear spaces
49L20 Dynamic programming in optimal control and differential games
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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