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

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Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise
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    Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise (English)
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    24 July 2009
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    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.
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    stochastic parabolic equation
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    finite element method
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    weak convergence
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