Strong convergence of adaptive time-stepping schemes for the stochastic Allen--Cahn equation

Abstract

It is known in \cite{beccari} that the standard explicit Euler-type scheme (such as the exponential Euler and the linear-implicit Euler schemes) with a uniform timestep, though computationally efficient, may diverge for the stochastic Allen--Cahn equation. To overcome the divergence, this paper proposes and analyzes adaptive time-stepping schemes, which adapt the timestep at each iteration to control numerical solutions from instability. The \textit{a priori} estimates in $\mathcal {C}(\mathcal {O})$-norm and $\dot{H}^{\beta}(\mathcal{O})$-norm of numerical solutions are established provided the adaptive timestep function is suitably bounded, which plays a key role in the convergence analysis. We show that the adaptive time-stepping schemes converge strongly with order $\frac{\beta}{2}$ in time and $\frac{\beta}{d}$ in space with $d$ ($d=1,2,3$) being the dimension and $\beta\in(0,2]$. Numerical experiments show that the adaptive time-stepping schemes are simple to implement and at a lower computational cost than a scheme with the uniform timestep.