Solving parabolic stochastic partial differential equations via averaging over characteristics
نویسندگان
چکیده
منابع مشابه
Solving parabolic stochastic partial differential equations via averaging over characteristics
The method of characteristics (the averaging over the characteristic formula) and the weak-sense numerical integration of ordinary stochastic differential equations together with the Monte Carlo technique are used to propose numerical methods for linear stochastic partial differential equations (SPDEs). Their orders of convergence in the mean-square sense and in the sense of almost sure converg...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 2009
ISSN: 0025-5718
DOI: 10.1090/s0025-5718-09-02250-9