Long Time Stability and Numerical Stability of Implicit Schemes for Stochastic Heat Equations

Abstract

SIAM Journal on Numerical Analysis, Volume 63, Issue 1, Page 396-421, February 2025.
Abstract. This paper studies the long time stability of both the solution of a stochastic heat equation on a bounded domain driven by a correlated noise and its approximations. It is popular for researchers to prove the intermittency of the solution, which means that the moments of solution to a stochastic heat equation usually grow to infinity exponentially fast and this hints that the solution to stochastic heat equation is generally not stable in long time. However, quite surprisingly in this paper we show that when the domain is bounded and when the noise is not singular in spatial variables, the system can be long time stable and we also prove that we can approximate the solution by its finite dimensional spectral approximation, which is also long time stable. The idea is to use eigenfunction expansion of the Laplacian on a bounded domain to write a stochastic heat equation as a system of infinite many stochastic differential equations. We also present numerical experiments which are consistent with our theoretical results.