Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise
Artikel i vetenskaplig tidskrift, 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
Författare
Matthias Geissert
Technische Universitat Darmstadt
Mihaly Kovacs
Göteborgs universitet
Chalmers, Matematiska vetenskaper, Matematik
Stig Larsson
Chalmers, Matematiska vetenskaper, Matematik
Göteborgs universitet
BIT (Copenhagen)
0006-3835 (ISSN)
Vol. 49 2 343-356Ämneskategorier (SSIF 2011)
Beräkningsmatematik
DOI
10.1007/s10543-009-0227-y