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 |
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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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