Numerical estimation of the coefficients of the parabolic equation by solving stochastic differential equations

DOI10.1515/RNAM.2000.15.5.397zbMath0983.65110OpenAlexW1965894626WikidataQ115235815 ScholiaQ115235815MaRDI QIDQ2725197

S. A. Gusev

Publication date: 12 July 2001

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam.2000.15.5.397

zbMATH Keywords

algorithminverse problemmethod of least squaresMonte Carlo methodparabolic equationEuler methodinitial boundary value problemsystem of stochastic differential equationsestimation of undetermined coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inverse problems for PDEs (35R30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Initial value problems for second-order parabolic equations (35K15) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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