Numerical solution of the Dirichlet problem for linear parabolic SPDEs based on averaging over characteristics (Q3015683)
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scientific article; zbMATH DE number 5919796
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| English | Numerical solution of the Dirichlet problem for linear parabolic SPDEs based on averaging over characteristics |
scientific article; zbMATH DE number 5919796 |
Statements
Numerical Solution of the Dirichlet Problem for Linear Parabolic SPDEs Based on Averaging over Characteristics (English)
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13 July 2011
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mean-square and almost sure convergence
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Monte Carlo technique
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first boundary value problem
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Dirichlet problem
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linear parabolic stochastic partial differential equations
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numerical experiments
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0.8827336430549622
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0.8205382823944092
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0.7945426106452942
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