Weak approximation of the stochastic wave equation (Q711221): Difference between revisions

The expectation of a functional of the solution of the stochastic wave equation driven by a space-time white noise is approximated by the leap-frog scheme. The accuracy of this scheme is shown to be of order two which is the same as that in the deterministic case.

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Mathematics Subject Classification ID

65C30

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stochastic wave equation

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space-time white noise

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leap-frog scheme

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reviewed by

Gong Guanglu

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2010.03.026

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Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II

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Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I

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On discretization schemes for stochastic evolution equations

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Approximation for semilinear stochastic evolution equations

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Numerical analysis of semilinear stochastic evolution equations in Banach spaces

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Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs

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On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

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Numerical methods for stochastic parabolic PDEs

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Weak and strong order of convergence of a semidiscrete scheme for the stochastic nonlinear Schrödinger equation

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A semi-discrete scheme for the stochastic nonlinear Schrödinger equation

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Convergence of a semi-discrete scheme for the stochastic Korteweg-de Vries equation

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Space semi-discretisations for a stochastic wave equation

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On numerical solutions of the stochastic wave equation

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Finite Element Approximation of the Linear Stochastic Wave Equation with Additive Noise

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Weak approximation of stochastic equations

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A note on space approximation of parabolic evolution equations

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Weak convergence of a numerical method for a stochastic heat equation

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Weak order for the discretization of the stochastic heat equation

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Q4319807

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Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

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Expansion of the global error for numerical schemes solving stochastic differential equations

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A First Course in the Numerical Analysis of Differential Equations

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Q4210921

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The vibrating string forced by white noise

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Q3425601

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Stochastic Equations in Infinite Dimensions

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Q3747436

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Semigroups of linear operators and applications to partial differential equations

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Q3909518

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Evolution equations with white-noise boundary conditions

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Sitelinks

Mathematics(1 entry)

mardi Publication:711221

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-Gong Guanglu
@@ Property / reviewed by: Gong Guanglu / rank @@
-Normal rank
@@ Property / reviewed by @@
+Gong Guanglu
@@ Property / reviewed by: Gong Guanglu / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
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+https://doi.org/10.1016/j.cam.2010.03.026
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+Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
+Normal rank
@@ Property / cites work @@
+Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
+Normal rank
@@ Property / cites work @@
+On discretization schemes for stochastic evolution equations
+Normal rank
@@ Property / cites work @@
+Approximation for semilinear stochastic evolution equations
+Normal rank
@@ Property / cites work @@
+Numerical analysis of semilinear stochastic evolution equations in Banach spaces
+Normal rank
@@ Property / cites work @@
+Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
+Normal rank
@@ Property / cites work @@
+On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
+Normal rank
@@ Property / cites work @@
+Numerical methods for stochastic parabolic PDEs
@@ Property / cites work: Numerical methods for stochastic parabolic PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Weak and strong order of convergence of a semidiscrete scheme for the stochastic nonlinear Schrödinger equation
+Normal rank
@@ Property / cites work @@
+A semi-discrete scheme for the stochastic nonlinear Schrödinger equation
+Normal rank
@@ Property / cites work @@
+Convergence of a semi-discrete scheme for the stochastic Korteweg-de Vries equation
+Normal rank
@@ Property / cites work @@
+Space semi-discretisations for a stochastic wave equation
+Normal rank
@@ Property / cites work @@
+On numerical solutions of the stochastic wave equation
+Normal rank
@@ Property / cites work @@
+Finite Element Approximation of the Linear Stochastic Wave Equation with Additive Noise
+Normal rank
@@ Property / cites work @@
+Weak approximation of stochastic equations
@@ Property / cites work: Weak approximation of stochastic equations / rank @@
+Normal rank
@@ Property / cites work @@
+A note on space approximation of parabolic evolution equations
+Normal rank
@@ Property / cites work @@
+Weak convergence of a numerical method for a stochastic heat equation
+Normal rank
@@ Property / cites work @@
+Weak order for the discretization of the stochastic heat equation
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A First Course in the Numerical Analysis of Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4210921
@@ Property / cites work: Q4210921 / rank @@
+Normal rank
@@ Property / cites work @@
+The vibrating string forced by white noise
@@ Property / cites work: The vibrating string forced by white noise / rank @@
+Normal rank
@@ Property / cites work @@
+Q3425601
@@ Property / cites work: Q3425601 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3747436
@@ Property / cites work: Q3747436 / rank @@
+Normal rank
@@ Property / cites work @@
+Semigroups of linear operators and applications to partial differential equations
+Normal rank
@@ Property / cites work @@
+Q3909518
@@ Property / cites work: Q3909518 / rank @@
+Normal rank
@@ Property / cites work @@
+Evolution equations with white-noise boundary conditions
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+Publication:711221