A fully discrete approximation of the one-dimensional stochastic wave equation (Q2794711)
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scientific article; zbMATH DE number 6554298
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fully discrete approximation of the one-dimensional stochastic wave equation |
scientific article; zbMATH DE number 6554298 |
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A fully discrete approximation of the one-dimensional stochastic wave equation (English)
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11 March 2016
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nonlinear stochastic wave equation
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multiplicative noise
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strong convergence
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finite differences
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stochastic trigonometric methods
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numerical examples
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semi-discretisation
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stochastic trigonometric method
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Courant-Friedrichs-Lewy restriction
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0.91955984
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0.8994469
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A fully discrete approximation of the one-dimensional stochastic wave equation driven by multiplicative noise based on the space semi-discretisation from \textit{L. Quer-Sardanyons} and \textit{M. Sanz-Solé} [Potential Anal. 24, 303--332 (2006; Zbl 1119.60061)] is presented. The time discretisation is a stochastic trigonometric method based on computing the Green's function of the space semi-discretised wave equation explicitly, which is possible in this situation. The resulting fully discrete scheme does not suffer from a Courant-Friedrichs-Lewy restriction on the timestep. The results of a numerical study are presented.
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