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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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DOI: 10.1023/A:1023661308243


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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