Abstract
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 \(\frac{1}{2}\), 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.
We’re sorry, something doesn't seem to be working properly.
Please try refreshing the page. If that doesn't work, please contact support so we can address the problem.
References
Allen, S., Cahn, J.: A macroscopic theory for antiphase boundary motion and its application to antiphase domain coarsening. Acta Metall. Mater. 27(6), 1085–1095 (1979)
Andersson, A., Kruse, R., Larsson, S.: Duality in refined Sobolev–Malliavin spaces and weak approximation of SPDE. Stoch. Partial Differ. Equ. Anal. Comput. 4(1), 113–149 (2016)
Andersson, A., Larsson, S.: Weak convergence for a spatial approximation of the nonlinear stochastic heat equation. Math. Comput. 85(299), 1335–1358 (2016)
Becker, S., Gess, B., Jentzen, A., Kloeden, P.E.: Strong convergence rates for explicit space time discrete numerical approximations of stochastic Allen–Cahn equations (2017). arXiv preprint arXiv:1711.02423
Bréhier, C.-E.: Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs. J. Complex. 56 (2019)
Bréhier, C.-E., Cui, J., Hong, J.: Strong convergence rates of semi-discrete splitting approximations for stochastic Allen-Cahn equation. IMA J. Numer. Anal. 39, 2096–2134 (2018). https://doi.org/10.1093/imanum/dry052
Bréhier, C.-E., Debussche, A.: Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient. J. Math. Pures Appl. 119, 193–254 (2018)
Bréhier, C.-E., Goudenège, L.: Analysis of some splitting schemes for the stochastic Allen-Cahn equation. Discrete Contin. Dyn. Syst. B 24(8), 4169–4190 (2019). https://doi.org/10.3934/dcdsb.2019077
Cerrai, S.: Second Order PDE’s in Finite and Infinite Dimension. Lecture Notes in Mathematics. A probabilistic approach, vol. 1762. Springer, Berlin (2001)
Conus, D., Jentzen, A., Kurniawan, R.: Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients. Ann. Appl. Probab. 29(2), 653–716 (2019)
Da Prato, G., Debussche, A.: An integral inequality for the invariant measure of a stochastic reaction–diffusion equation. J. Evol. Equ. 17(1), 197–214 (2017)
Da Prato, G., Zabczyk, J.: Stochastic Equations in Infinite Dimensions. Encyclopedia of Mathematics and its Applications, vol. 152, 2nd edn. Cambridge University Press, Cambridge (2014)
Debussche, A.: Weak approximation of stochastic partial differential equations: the nonlinear case. Math. Comput. 80(273), 89–117 (2011)
Debussche, A., Printems, J.: Weak order for the discretization of the stochastic heat equation. Math. Comput. 78(266), 845–863 (2009)
Grisvard, P.: Caractérisation de quelques espaces d’interpolation. Arch. Ration. Mech. Anal. 25(1), 40–63 (1967)
Hefter, M., Jentzen, A., Kurniawan, R.: Weak convergence rates for numerical approximations of stochastic partial differential equations with nonlinear diffusion coefficients in UMD Banach spaces (2016). arXiv preprint arXiv:1612.03209
Jentzen, A., Kloeden, P.E.: Taylor Approximations for Stochastic Partial Differential Equations. CBMS-NSF Regional Conference Series in Applied Mathematics, vol. 83. Society for Industrial and Applied Mathematics (SIAM), Philadelphia (2011)
Jentzen, A., Kurniawan, R.: Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients (2015). arXiv:1501.03539
Kopec, M.: Quelques contributions à l’analyse numérique d’équations stochastiques. PhD thesis, Ecole normale supérieure de Rennes-ENS Rennes (2014)
Kovács, M., Larsson, S., Lindgren, F.: On the backward Euler approximation of the stochastic Allen–Cahn equation. J. Appl. Probab. 52(2), 323–338 (2015)
Kovács, M., Larsson, S., Lindgren, F.: On the discretisation in time of the stochastic Allen-Cahn equation. Math. Nachrichten 291(5–6), 966–995 (2018)
Kruse, R.: Strong and Weak Approximation of Semilinear Stochastic Evolution Equations. Lecture Notes in Mathematics, vol. 2093. Springer, Cham (2014)
Liu, Z., Qiao, Z.: Wong-Zakai approximations of stochastic Allen-Cahn equation. Int. J. Numer. Anal. Mod. 16, 681–694 (2019)
Liu, Z., Qiao, Z.: Strong approximation of monotone stochastic partial differential equations driven by white noise. IMA J. Numer. Anal. (2019). https://doi.org/10.1093/imanum/dry088
Lord, G.J., Powell, C.E., Shardlow, T.: An Introduction to Computational Stochastic PDEs. Cambridge Texts in Applied Mathematics. Cambridge University Press, New York (2014)
Majee, A., Prohl, A.: Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise. Comput. Methods Appl. Math. 18(2), 297–311 (2017)
Nualart, D.: The Malliavin Calculus and Related Topics. Probability and its Applications (New York), 2nd edn. Springer, Berlin (2006)
Pazy, A.: Semigroups of Linear Operators and Applications to Partial Differential Equations. Applied Mathematical Sciences, vol. 44. Springer, New York (1983)
Triebel, H.: Interpolation Theory, Function Spaces, Differential Operators, 2nd edn. Johann Ambrosius Barth, Heidelberg (1995)
Trotter, H.F.: On the product of semi-groups of operators. Proc. Am. Math. Soc. 10(4), 545–551 (1959)
Wang, X.: Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus. Discrete Contin. Dyn. Syst. 36(1), 481–497 (2016)
Wang, X.: An efficient explicit full discrete scheme for strong approximation of stochastic Allen–Cahn equation (2018). arXiv preprint arXiv:1802.09413
Wang, X., Gan, S.: Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise. J. Math. Anal. Appl. 398(1), 151–169 (2013)
Acknowledgements
The authors would like to thank the two anonymous referees for their remarks and suggestions. They also want to thank Arnaud Debussche for discussions, and for suggesting the approach to prove Lemma 4.4. They also wish to thank Jialin Hong and Jianbao Cui for helpful comments and suggestions to improve the presentation of the manuscript.
Author information
Authors and Affiliations
Corresponding author
Additional information
Publisher's Note
Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
Rights and permissions
About this article
Cite this article
Bréhier, CE., Goudenège, L. Weak convergence rates of splitting schemes for the stochastic Allen–Cahn equation. Bit Numer Math 60, 543–582 (2020). https://doi.org/10.1007/s10543-019-00788-x
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10543-019-00788-x
Keywords
- Stochastic partial differential equations
- Splitting schemes
- Allen–Cahn equation
- Weak convergence
- Kolmogorov equation