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On the discretisation in time of the stochastic Allen–Cahn equation
Abstract:We consider the stochastic Allen–Cahn equation perturbed by smooth additive Gaussian noise in a bounded spatial domain with smooth boundary in dimension urn:x-wiley:0025584X:media:mana201600283:mana201600283-math-0001, and study the semidiscretisation in time of the equation by an Euler type split‐step method with step size urn:x-wiley:0025584X:media:mana201600283:mana201600283-math-0002. We show that the method converges strongly with a rate urn:x-wiley:0025584X:media:mana201600283:mana201600283-math-0003. By means of a perturbation argument, we also establish the strong convergence of the standard backward Euler scheme with the same rate.
Keywords:Additive noise  Allen–  Cahn equation  Euler method  splitting method  stochastic partial differential equation  strong convergence  time discretisation  Wiener process  60H15  60H35  65C30
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