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Rate of weak convergence of the finite element method for the stochastic heat equation with additive noise

Matthias Geissert ; Mihaly Kovacs (Institutionen för matematiska vetenskaper, matematik) ; Stig Larsson (Institutionen för matematiska vetenskaper, matematik)
BIT Numerical Mathematics (0006-3835 (Print) 1572-9125 (Online)). Vol. 49 (2009), 2, p. 343-356.
[Artikel, refereegranskad vetenskaplig]

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.

Nyckelord: Finite element, Parabolic equation, Stochastic, Additive noise, Wiener process, Error estimate, Weak convergence

doi: 10.1007/s10543-009-0227-y

Denna post skapades 2009-06-05. Senast ändrad 2014-09-02.
CPL Pubid: 94745


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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)


Numerisk analys

Chalmers infrastruktur