Digital simulation of evolutionary stochastic differential equations

DOI10.1016/0041-5553(90)90056-XMaRDI QIDQ4713227zbMATH OpenOpenAlexFDO

Authors Yu. G. Bulychev, S. A. Pogonyshev

Publication date 25 June 1992

Published in USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0041-5553(90)90056-x

zbMATH Keywords

difference equationsdigital simulationerror estimatesEuler methodEuler- Cauchy methodnumerical examplerandom parabolic equationRunge-Kutta methodstochastic evolution equationWiener processes

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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