Numerical methods for hyperbolic SPDEs: a Wiener chaos approach

DOI10.1007/s40072-013-0019-xzbMath1332.60105OpenAlexW2083036693MaRDI QIDQ483625

Evangelia A. Kalpinelli, Athanasios N. Yannacopoulos, Nikolaos E. Frangos

Publication date: 17 December 2014

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40072-013-0019-x

zbMATH Keywords

numerical methodsstochastic wave equationWiener chaos expansionstochastic hyperbolic PDEsstochastic Klein-Gordon equation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Wave equation (35L05) 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)

Related Items (5)

Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model ⋮ The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach ⋮ Efficient numerical schemes for the solution of generalized time fractional Burgers type equations ⋮ Solution of stochastic nonlinear time fractional PDEs using polynomial chaos expansion combined with an exponential integrator ⋮ Numerically computable a posteriori-bounds for the stochastic Allen-Cahn Equation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Rice formulae and Gaussian waves
• Non-equilibrium statistical mechanics of anharmonic chains coupled to two heat baths at different temperatures
• The stochastic wave equation in two spatial dimensions
• Wiener chaos solutions of linear stochastic evolution equations
• Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
• A Multistage Wiener Chaos Expansion Method for Stochastic Advection-Diffusion-Reaction Equations
• A stochastic modeling methodology based on weighted Wiener chaos and Malliavin calculus
• A Wiener Chaos Approach to Hyperbolic SPDEs
• Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations
• Stochastic Partial Differential Equations Driven by Purely Spatial Noise
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Numerical methods for hyperbolic SPDEs: a Wiener chaos approach