Wong--Zakai Approximations of Stochastic Allen-Cahn Equation

Zhihui Liu; Zhonghua Qiao

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arXiv · 1710.09539

Wong--Zakai Approximations of Stochastic Allen-Cahn Equation

Zhihui Liu·Zhonghua Qiao

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Abstract

We establish a unconditional and optimal strong convergence rate of Wong--Zakai type approximations in Banach space norm for a parabolic stochastic partial differential equation with monotone drift, including the stochastic Allen--Cahn equation, driven by an additive Brownian sheet. The key ingredient in the analysis is the fully use of additive nature of the noise and monotonicity of the drift to derive a priori estimation for the solution of this equation, in combination with the factorization method and stochastic calculus in martingale type 2 Banach spaces applied to deduce sharp error estimation between the exact and approximate Ornstein--Uhlenbeck processes, in Banach space norm.

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Zhihui Liu, Zhonghua Qiao. 2017-10-26. Wong--Zakai Approximations of Stochastic Allen-Cahn Equation. https://arxiv.org/abs/1710.09539

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