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

BIT Numerical Mathematics

Volumn 49, Issue 2, 2009, Pages 343-356

  Geissert, Matthias ^a   Kovács, Mihály ^b   Larsson, Stig ^c  

^a DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

^b UNIVERSITY OF OTAGO   (New Zealand)

^c CHALMERS UNIVERSITY OF TECHNOLOGY   (Sweden)

Author keywords

Additive noise; Error estimate; Finite element; Parabolic equation; Stochastic; Weak convergence; Wiener process

Indexed keywords

EID: 67349263036     PISSN: 00063835     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10543-009-0227-y     Document Type: Article

References (7)

1. Da Prato, G., Zabczyk, J.: Stochastic Equations in Infinite Dimensions. Encyclopedia of Mathematics and Its Applications, vol. 44. Cambridge University Press, Cambridge (1992)
2. Da Prato, G., Zabczyk, J.: Second Order Partial Differential Equations in Hilbert Spaces. London Mathematical Society Lecture Note Series, vol. 293. Cambridge University Press, Cambridge (2002)
3. A. de Bouard A. Debussche 2006 Weak and strong order of convergence of a semidiscrete scheme for the stochastic nonlinear Schrödinger equation Appl. Math. Optim. 54 369 399 (Pubitemid 44631905)
4. Debussche, A.: Weak approximation of stochastic partial differential equations: the non linear case. Preprint 2008, arXiv:0804.1304v1 [math.NA]
5. A. Debussche J. Printems 2009 Weak order for the discretization of the stochastic heat equation Math. Comput. 78 845 863
6. Hausenblas, E.: Weak Approximation for Semilinear Stochastic Evolution Equations. Stochastic Analysis and Related Topics VIII, Progr. Probab., vol. 53, pp. 111-128. Birkhäuser, Basel (2003)
7. Y. Yan 2004 Semidiscrete Galerkin approximation for a linear stochastic parabolic partial differential equation driven by an additive noise BIT 44 829 847 (Pubitemid 40630143)