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.