A numerical scheme for stochastic PDEs with Gevrey regularity

We consider strong approximations to parabolic stochastic PDEs.We assume the noise lies in a Gevrey space of analytic functions.This type of stochastic forcing includes the case of forcingin a finite number of Fourier modes. We show that with Gevreynoise our numerical scheme has solutions in a discrete equivalentof this space and prove a strong error estimate. Finally wepresent some numerical results for a stochastic PDE with a Ginzburg–Landaunonlinearity and compare this to the more standard implicitEuler–Maruyama scheme.