Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations - Université de Pau et des Pays de l'Adour
Article Dans Une Revue ESAIM: Mathematical Modelling and Numerical Analysis Année : 2024

Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations

Résumé

We construct a positivity-preserving Lie–Trotter splitting scheme with finite difference discretization in space for approximating the solutions to a class of semilinear stochastic heat equations with multiplicative space-time white noise. We prove that this explicit numerical scheme converges in the mean-square sense, with rate 1/4 in time and rate 1/2 in space, under appropriate CFL conditions. Numerical experiments illustrate the superiority of the proposed numerical scheme compared with standard numerical methods which do not preserve positivity.
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Dates et versions

hal-04665132 , version 1 (30-07-2024)

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Charles-Edouard Bréhier, David Cohen, Johan Ulander. Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations. ESAIM: Mathematical Modelling and Numerical Analysis, 2024, 58 (4), pp.1317-1346. ⟨10.1051/m2an/2024032⟩. ⟨hal-04665132⟩

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