A fully discrete approximation of the one-dimensional stochastic heat equation

Abstract: A fully discrete approximation of the one-dimensional stochastic heat equation driven by multiplicative space-time white noise is presented. The standard finite difference approximation is used in space and a stochastic exponential method is used for the temporal approximation. Observe that the proposed exponential scheme does not suffer from any kind of CFL-type step size restriction. When the drift term and the diffusion coefficient are assumed to be globally Lipschitz, this explicit time integrator allows for error bounds in $L^q(\Omega)$, for all $q\geq2$, improving some existing results in the literature. On top of this, we also prove almost sure convergence of the numerical scheme. In the case of non-globally Lipschitz coefficients, we provide sufficient conditions under which the numerical solution converges in probability to the exact solution. Numerical experiments are presented to illustrate the theoretical results.