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 language | English |
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Pages (from-to) | 179-193 |
Journal | BIT Numerical Mathematics |
Volume | 43 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2003 |