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

Abstract

We construct a positivity-preserving Lie--Trotter splitting scheme with finite difference discretization in space for approximating the solutions to a class of semilinear 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. p, li { white-space: pre-wrap; }