Density convergence of a fully discrete finite difference method for stochastic Cahn--Hilliard equation

Abstract

This paper focuses on investigating the density convergence of a fully discrete finite difference method when applied to numerically solve the stochastic Cahn--Hilliard equation driven by multiplicative space-time white noises. The main difficulty lies in the control of the drift coefficient that is neither globally Lipschitz nor one-sided Lipschitz. To handle this difficulty, we propose a novel localization argument and derive the strong convergence rate of the numerical solution to estimate the total variation distance between the exact and numerical solutions. This along with the existence of the density of the numerical solution finally yields the convergence of density in $L^1(\mathbb{R})$ of the numerical solution. Our results partially answer positively to the open problem emerged in [J. Cui and J. Hong, J. Differential Equations (2020)] on computing the density of the exact solution numerically.

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Cited by in corpus (2)

• Strong convergence rates of an explicit scheme for stochastic Cahn--Hilliard equation with additive noise
• Asymptotics of large deviations of finite difference method for stochastic Cahn--Hilliard equation