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.

Error estimate

Parabolic equation

Stochastic

Weak convergence

Additive noise

Wiener process

Finite element

Author

Matthias Geissert

Technische Universität Darmstadt

Mihaly Kovacs

Chalmers, Mathematical Sciences, Mathematics

University of Gothenburg

Stig Larsson

Chalmers, Mathematical Sciences, Mathematics

University of Gothenburg

BIT (Copenhagen)

0006-3835 (ISSN)

Vol. 49 2 343-356

Subject Categories

Computational Mathematics

DOI

10.1007/s10543-009-0227-y

More information

Latest update

2/28/2018