Weak convergence of a numerical method for a stochastic heat equations

Shardlow, Tony (2003) Weak convergence of a numerical method for a stochastic heat equations. BIT Numerical Mathematics, 43 (1). pp. 179-193. ISSN 0385-6984

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Abstract

Weak convergence with respect to a space of twice continuously differentiable test functions is established for a discretisation of a heat equation with homogeneous Dirichlet boundary conditions in one dimension, forced by a space-time Brownian motion. The discretisation is based on finite differences in space and time, incorporating a spectral approximation in space to the Brownian motion.

Item Type:	Article
Uncontrolled Keywords:	Partial differential equations - initial-boundary value problems - stochastic partial differential equations
Subjects:	MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis
Depositing User:	Ms Lucy van Russelt
Date Deposited:	09 Aug 2006
Last Modified:	20 Oct 2017 14:12
URI:	https://eprints.maths.manchester.ac.uk/id/eprint/461

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