Weak convergence of a numerical method for a stochastic heat equation

DOI10.1023/A:1023661308243zbMath1031.65015OpenAlexW1558895765MaRDI QIDQ1397990

Tony Shardlow

Publication date: 6 August 2003

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1023661308243

zbMATH Keywords

weak convergenceheat equationBrownian motioninitial-boundary value problemsfinite differencespectral methodstochastic partial differential equation

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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