Numerical methods for stochastic parabolic PDEs
Tony Shardlow · Numerical Functional Analysis and Optimization · 1999
We develop a convergence theory for finite difference approximations of reaction diffusion equations forced by an additive space–time white noise. Special care is taken to develop the estimates in terms of non-smooth initial data and over a long time interval, motivated by an abstract approximation theory of ergodic properties developed by Shardlow& Stuart.