In this thesis, we study the stochastic heat equation (SHE) on bounded domains and on the whole Euclidean space $\R^d.$ We confirm the intuition that as the bounded domain increases to the whole space, both solutions become arbitrarily close to one another. Both vanishing Dirichlet and Neumann boundary conditions are considered. We first study the nonlinear SHE in any space dimension with multiplicative correlated noise and bounded initial data. We prove that the solutions to SHE on an increasing sequence of domains converge exponentially fast to the solution to SHE on $\R^d.$ Uniform convergence on compact set is obtained for all $p$-moments. The conditions that need to be imposed on the noise are the same as those required to ensure existence of a random field solution. A Gronwall-type iteration argument is used together with uniform bounds on the solutions, which are surprisingly valid for the entire sequence of increasing domains. We then study SHE in space dimension $d\ge 2$ with additive white noise and bounded initial data. Even though both solutions need to be considered as distributions, their difference is proved to be smooth. If fact, the order of smoothness depends only on the regularity of the boundary of the increasing sequence of domains. We prove that the Fourier transform, in the sense of distributions, of the solution to SHE on $\R^d$ do not have any locally mean-square integrable representative. Therefore, convergence is studied in local versions of Sobolev spaces. Again, exponential rate is obtained. Finally, we study the Anderson model for SHE with correlated noise and initial data given by a measure. We obtain a special expression for the second moment of the difference of the solution on $\R^d$ with that on a bounded domain. The contribution of the initial condition is made explicit. For example, exponentially fast convergence on compact sets is obtained for any initial condition with polynomial growth. More interestingly, from a given convergence rate, we can decide whether some initial data is admissible.