Weak convergence of a numerical method for a stochastic heat equation (Q1397990)
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scientific article; zbMATH DE number 1960118
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak convergence of a numerical method for a stochastic heat equation |
scientific article; zbMATH DE number 1960118 |
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Weak convergence of a numerical method for a stochastic heat equation (English)
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6 August 2003
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The author considers the weak convergence of a numerical method for a stochastic partial differential equation of the type of a heat equation. Space-time Brownian motion drives the heat equation. A finite difference discretisation in space and time is combined with a spectral approximation.
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initial-boundary value problems
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stochastic partial differential equation
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spectral method
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weak convergence
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heat equation
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Brownian motion
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finite difference
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