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On the discretisation in time of the stochastic Allen-Cahn equation (1510.03684v3)

Published 13 Oct 2015 in math.NA and math.PR

Abstract: We consider the stochastic Allen--Cahn equation perturbed by smooth additive Gaussian noise in a spatial domain with smooth boundary in dimension $d\le 3$, and study the semidiscretisation in time of the equation by an Euler type split-step method. We show that the method converges strongly with a rate $O(\Delta t{\frac12}) $. By means of a perturbation argument, we also establish the strong convergence of the standard backward Euler scheme with the same rate.

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