Approximating the solution stochastic process of the random Cauchy one-dimensional heat model

DOI10.1155/2016/5391368MaRDI QIDQ1669243zbMATH OpenOpenAlexWikidataFDO

Authors Peng Zhang

Publication date 30 August 2018

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2016/5391368

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Review text

Summary: This paper deals with the numerical solution of the random Cauchy one-dimensional heat model. We propose a random finite difference numerical scheme to construct numerical approximations to the solution stochastic process. We establish sufficient conditions in order to guarantee the consistency and stability of the proposed random numerical scheme. The theoretical results are illustrated by means of an example where reliable approximations of the mean and standard deviation to the solution stochastic process are given.

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Cited in

(5)

• The approximate pseudorandom walk accompanied by the pseudostochastic process corresponding to a higher-order heat-type equation
• Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme
• One-dimensional stochastic heat equation with discontinuous conductance
• Khasminskii approach for \(\psi\)-Caputo fractional stochastic pantograph problem
• An approximation result for a quasi-linear stochastic heat equation

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