Stochastic evolution equation with Riesz-fractional derivative and white noise on the half-line

DOI10.1016/j.apnum.2015.05.002zbMath1336.65009OpenAlexW2195501176MaRDI QIDQ268853

Martin P. Arciga Alejandre, Jorge Sanchez Ortiz, Francisco J. Ariza Hernandez

Publication date: 15 April 2016

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2015.05.002

zbMATH Keywords

Brownian motionMonte Carlo methodinitial boundary value problemFokas methodPicard schemeRiesz-fractional spatial derivativestochastic evolution equation

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Fractional partial differential equations (35R11)

Related Items (3)

Solving PDEs of fractional order using the unified transform method ⋮ Existence of solutions of an explicit energy-conserving scheme for a fractional Klein-Gordon-Zakharov system ⋮ Computational scheme for solving nonlinear fractional stochastic differential equations with delay

Uses Software

• R

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