Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise
Journal article, 2009
The stochastic heat equation driven by additive noise is discretized in the spatial variables 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.
Additive noise
Weak convergence
Parabolic equation
Wiener process
Stochastic
Finite element
Error estimate
Author
Matthias Geissert
Technische Universitat Darmstadt
Mihaly Kovacs
University of Gothenburg
Chalmers, Mathematical Sciences, Mathematics
Stig Larsson
Chalmers, Mathematical Sciences, Mathematics
University of Gothenburg
BIT (Copenhagen)
0006-3835 (ISSN)
Vol. 49 2 343-356Subject Categories (SSIF 2011)
Computational Mathematics
DOI
10.1007/s10543-009-0227-y