Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise
Convergence of a finite-volume scheme for a heat equation with a multiplicative Lipschitz noise
We study here the approximation by a finite-volume scheme of a heat equation forced by a Lipschitz continuous multiplicative noise in the sense of It\^o. More precisely, we consider a discretization which is semi-implicit in time and a two-point flux approximation scheme (TPFA) in space. We adapt the method based …