Solving parabolic Wick-stochastic boundary value problems using a finite element method

DOI10.1080/1045112021000040973zbMath1031.65016OpenAlexW2000442607MaRDI QIDQ4804692

Thomas Gorm Theting

Publication date: 15 July 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1045112021000040973

zbMATH Keywords

finite element methodGalerkin type approximationslinear parabolic stochastic boundary value problemsWick-type

Mathematics Subject Classification ID

White noise theory (60H40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) 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) Initial value problems for second-order parabolic equations (35K15)

Related Items (5)

Robust parameter estimation for stochastic differential equations ⋮ A priori error estimates for finite element approximations of parabolic stochastic partial differential equations with generalized random variables ⋮ A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations ⋮ A finite element approximation of linear stochastic PDEs driven by multiplicative white noise ⋮ Mixed finite element method for the heat diffusion equation in a random medium

Uses Software

• Diffpack

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