Weak convergence rates of splitting schemes for the stochastic Allen–Cahn equation
By Charles-Edouard Br'ehier, Ludovic Goudenège. BIT Numerical Mathematics, 2018
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This article is devoted to the analysis of the weak rates of convergence of schemes introduced by the authors in a recent work, for the temporal discretization of the one-dimensional stochastic Allen–Cahn equation driven by space-time white noise. The schemes are based on splitting strategies and are explicit. We prove that they have a weak rate of convergence equal to 12\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\frac{1}{2}$$\end{document}, like in the more standard case of SPDEs with globally Lipschitz continuous nonlinearity. To deal with the polynomial growth of the nonlinearity, several new estimates and techniques are used. In particular, new regularity results for solutions of related infinite dimensional Kolmogorov equations are established. Our contribution is the first one in the literature concerning weak convergence rates for parabolic semilinear SPDEs with non globally Lipschitz nonlinearities.
Subfields: Applied Mathematics, Computational Theory and Mathematics, Finance
View Paper: https://www.semanticscholar.org/paper/a62de9e685a6ba3458608e0238176a6c75d217f9
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Citations in the corpus
- Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients (2018, methodology): “only aware that there are several results on weak convergent semi-discretizations, such as some temporal splitting methods in [9] and the spatial finite element methods in [13] for parabolic SPDEs with non-globally Lipschitz coefficients, and a temporal splitting method in [12] for the stochastic Sc”