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

02/17/2023

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by   Charles-Edouard Bréhier, et al.

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We construct a positivity-preserving Lie–Trotter splitting scheme with finite difference discretization in space for approximating the solutions to a class of nonlinear 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.