2006.260: Weak convergence of a numerical method for a stochastic heat equations
2006.260: Tony Shardlow (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 2000 > 60 Probability theory and stochastic processes MSC 2000 > 65 Numerical analysis |
| MIMS number: | 2006.260 |
| Deposited By: | Miss Louise Stait |
| Deposited On: | 09 August 2006 |
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