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

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