Numerical methods for stochastic parabolic PDEs (Q4239760)
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scientific article; zbMATH DE number 1279316
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| English | Numerical methods for stochastic parabolic PDEs |
scientific article; zbMATH DE number 1279316 |
Statements
Numerical methods for stochastic parabolic PDEs (English)
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23 August 1999
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convergence
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finite difference
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nonlinear stochastic partial differential equation
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initial value problem
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Wiener process
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numerical experiments
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0.8342821002006531
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0.8269081115722656
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0.8199509978294373
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This paper presents a proof of the convergence of finite difference approximations of the solution of the nonlinear stochastic partial differential equation initial value problem of the form \[ du(t)= \Biggl[{\partial^2u(t)\over\partial x^2}+ f(u(t))\Biggr] dt+ dB(t),\quad u(0)= U, \] where \(B(t)\) is a Wiener process. It concludes with a brief summary of results obtained in numerical experiments with \(f=0\) and with \(f= .5(u- u^3)\).
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