Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise
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Publication:6041050
Abstract: We study here the approximation by a finite-volume scheme of a heat equation forced by a Lipschitz continuous multiplicative noise in the sense of It^o. More precisely, we consider a discretization which is semi-implicit in time and a two-point flux approximation scheme (TPFA) in space. We adapt the method based on the theorem of Prokhorov to obtain a convergence in distribution result, then Skorokhod's representation theorem yields the convergence of the scheme towards a martingale solution and the Gy"{o}ngy-Krylov argument is used to prove convergence in probability of the scheme towards the unique variational solution of our parabolic problem.
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Cited in
(7)- Convergence of a finite-volume scheme for a heat equation with a multiplicative stochastic force
- Finite Volume Approximations for Non-linear Parabolic Problems with Stochastic Forcing
- A class of space-time discretizations for the stochastic \(p\)-Stokes system
- Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
- Convergence of monotone finite volume schemes for hyperbolic scalar conservation laws with multiplicative noise
- A fully discrete approximation of the one-dimensional stochastic heat equation
- Convergence of Chandrashekar's second-derivative finite-volume approximation
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