Domain preserving splitting schemes for a class of SPDEs driven by a standard Brownian motion

Source abstract

We consider a class of SPDEs driven by a standard real-valued Brownian motion, with drift and diffusion coefficients such that there exists a unique mild solution taking values in the interval $[-1,1]$ almost surely. To preserve this qualitative property of the exact solution, we propose a domain preserving Lie--Trotter splitting scheme: for any choice of the time-step size, the numerical solution takes values in the interval $[-1,1]$ almost surely. Furthermore, we prove mean-square convergence with rate $1/2-$ for the domain preserving Lie--Trotter scheme. These theoretical results are illustrated with numerical experiments.