Weak convergence of a numerical method for a stochastic heat equation

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Abstract

Weak convergence with respect to a space of twice continuously differentiable test functions is established for a discretisation of a heat equation with homogeneous Dirichlet boundary conditions in one dimension, forced by a space-time Brownian motion. The discretisation is based on finite differences in space and time, incorporating a spectral approximation in space to the Brownian motion.
Original languageEnglish
Pages (from-to)179-193
JournalBIT Numerical Mathematics
Volume43
Issue number1
DOIs
Publication statusPublished - 2003

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