Noise regularization and computations for the 1-dimensional stochastic   Allen-Cahn problem
  We address the numerical discretization of the Allen-Cahn prob- lem with additive white noise in one-dimensional space. The discretization is conducted in two stages: (1) regularize the white noise and study the regularized problem, (2) approximate the regularized problem. We address (1) by introducing a piecewise constant random approximation of the white noise with respect to a space-time mesh. We analyze the regularized problem and study its relation to both the original problem and the deterministic Allen-Cahn problem. Step (2) is then performed leading to a practical Monte-Carlo method combined with a Finite Element-Implicit Euler scheme. The resulting numerical scheme is tested against theoretical benchmark results. 
Markos A. Katsoulakis and Georgios T. Kossioris and Omar Lakkis
math.NA math.AP math.DS math.PR nlin.PS