Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise

Abstract

We discretize the stochastic Allen-Cahn equation with additive noise by means of a spectral Galerkin method in space and a tamed version of the exponential Euler method in time. The resulting error bounds are analyzed for the spatio-temporal full discretization in both strong and weak senses. Different from existing works, we develop a new and direct approach for the weak error analysis, which does not rely on the use of the associated Kolmogorov equation or Itô's formula and is therefore non-Markovian in nature. Such an approach thus has a potential to be applied to non-Markovian equations such as stochastic Volterra equations or other types of fractional SPDEs, which suffer from the lack of Kolmogorov equations. It turns out that the obtained weak convergence rates are, in both spatial and temporal direction, essentially twice as high as the strong convergence rates. Also, it is revealed how the weak convergence rates depend on the regularity of the noise. Numerical experiments are finally reported to confirm the theoretical conclusion.

arXiv comment28 pages

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• Strong convergence of a fully discrete scheme for stochastic Burgers equation with fractional-type noise
• Strong convergence rates of an explicit scheme for stochastic Cahn--Hilliard equation with additive noise
• Weak convergence of the backward Euler method for stochastic Cahn--Hilliard equation with additive noise
• Strong convergence rates for a full discretization of stochastic wave equation with nonlinear damping
• Strong error estimates for a fully discrete SAV scheme for the stochastic Allen--Cahn equation with multiplicative noise
• A convergent stochastic scalar auxiliary variable method