## 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 |
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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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