Higher order stable schemes for stochastic convection-reaction-diffusion
equations driven by additive Wiener noise
Abstract
In this paper, we investigate the numerical approximation of stochastic
convection-reaction-diffusion equations using two explicit exponential
integrators. The stochastic partial differential equation (SPDE) is
driven by additive Wiener process. The approximation in space is done
via a combination of the standard finite element method and the Galerkin
projection method. Using the linear functional of the noise, we
construct two accelerated numerical methods, which achieve higher
convergence orders. In particular, we achieve convergence rates
approximately $1$ for trace class noise and
$\frac{1}{2}$ for space-time white noise. These
convergences orders are obtained under less regularities assumptions on
the nonlinear drift function than those used in the literature for
stochastic reaction-diffusion equations. Numerical experiments to
illustrate our theoretical results are provided