Simulation of stochastic evolution equations in discrete bases

zbMath0745.65090MaRDI QIDQ1189055

Yu. G. Bulychev, S. A. Pogonyshev

Publication date: 26 September 1992

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

fast Fourier transformsstochastic evolution equationsrecurrent algorithmEuler difference schemenarrow band scalar signalphase filtration

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99)

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