Constructing approximate diffusion processes with uncertain data

DOI10.1016/j.matcom.2006.06.009zbMath1103.65010OpenAlexW2065138106MaRDI QIDQ853229

Juan-Carlos Cortés, Pablo Sevilla-Peris, Lucas Jodar

Publication date: 15 November 2006

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.06.009

zbMATH Keywords

numerical examplestochastic processesdiffusion problemsmean square calculusrandom difference schemes

Mathematics Subject Classification ID

Heat equation (35K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) 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 (2)

Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation ⋮ Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Random differential equations in science and engineering
• Analytic-numerical approximating processes of diffusion equation with data uncertainty
• Random Transverse Vibrations of Elastic Beams
• Mixed problems for separated variable coefficient wave equations: Analytic-numerical solutions with a priori error bounds
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