Boundary-preserving weak approximations of some semilinear stochastic partial differential equations

We propose and analyse a boundary-preserving numerical scheme for the weak approximations of some stochastic partial differential equations (SPDEs) with bounded state-space. We impose regularity assumptions on the drift and diffusion coefficients only locally on the state-space. In particular, the drift and diffusion coefficients may be non-globally Lipschitz continuous and superlinearly growing. The scheme consists of a finite difference discretisation in space and a Lie--Trotter splitting followed by exact simulation and exact integration in time. We prove weak convergence of optimal order 1/4 for globally Lipschitz continuous test functions of the scheme by proving strong convergence towards a strong solution driven by a different noise process. Boundary-preservation is ensured by the use of Lie--Trotter time splitting followed by exact simulation and exact integration. Numerical experiments confirm the theoretical results and demonstrate the effectiveness of the proposed Lie--Trotter-Exact (LTE) scheme compared to existing methods for SPDEs.