Stig Larsson
Department of Mathematical Sciences
Chalmers University of Technology
Göteborg
We consider a linear parabolic stochastic differential equation in several spatial
variables forced by additive colored space-time noise. The equations are discretized
in the spatial variable by a finite element method. In order to capture the multiscale
behavior of the colored noise we use a hierarchical wavelet basis for the finite element
space. We prove strong and weak convergence estimates.
This is joint work with Mihaly Kovacs.