Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise (Q2391030): Difference between revisions

The authors consider the stochastic heat equation driven by additive noise \[ \begin{cases} dX-\Delta Xdt =dW, &\text{in }D\times\mathbb{R}^{+},\;D\subset \mathbb{R}^{d},\\ X(\cdot,0) =X_0, &\text{in }D,\\ X =0,&\text{on }\partial D\times\mathbb{R}^{+}. \end{cases} \] The equation is approximated by a standard finite element method. The weak convergence of the approximate solution is investigated and the rate of weak convergence is found to be twice that of strong convergence.