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) 15729125 (eISSN)
Vol. 49 2 343-356Subject Categories
Computational Mathematics
DOI
10.1007/s10543-009-0227-y