An adaptive time-stepping full discretization for stochastic Allen–Cahn equation
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It is known in [1] that a regular explicit Euler-type scheme with a uniform timestep, though computationally efficient, may diverge for the stochastic Allen–Cahn equation. To overcome the divergence, this paper proposes an adaptive time-stepping full discretization, whose spatial discretization is based on the spectral Galerkin method, and temporal direction is the adaptive exponential integrator scheme. It is proved that the expected number of timesteps is finite if the adaptive timestep function is bounded suitably. Based on the stability analysis in 𝒞(𝒪,ℝ)-norm of the numerical solution, it is shown that the strong convergence order of this adaptive time-stepping full discretization is the same as usual, i.e., order β in space and β/2 in time under the correlation assumption A^β-1/2Q^1/2_ℒ_2<∞,0<β≤ 1 on the noise. Numerical experiments are presented to support the theoretical results.
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