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 |
Keywords:
stochastic Allen-Cahn equation; monotone operator; variational solution; strong rate of convergenceReferences:
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