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Publication: Sampling Conditioned Diffusions. Review article, describing an SPDE-based technique to sample conditioned diffusions. … read more
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| details: | Jochen Voss: The Effect of Finite Element Discretisation on the Stationary Distribution of SPDEs. To appear in Communications in Mathematical Sciences, 2012. |
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| preprint: | arXiv:1110.4653, preprint:pdf |
| metadata: | BibTeX, Google |
| keywords: | SPDEs, finite element discretisation, stationary distribution |
| MSC2000: | 60H35, 60H15, 65C30 |
This article studies the effect of discretisation error on the stationary distribution of stochastic partial differential equations (SPDEs). We restrict the analysis to the effect of space discretisation, performed by finite element schemes. The main result is that under appropriate assumptions the stationary distribution of the finite element discretisation converges in total variation norm to the stationary distribution of the full SPDE.
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