Numerical analysis of the stochastic moving boundary problem

DOI10.1080/07362994.2012.704847MaRDI QIDQ3145060zbMATH OpenOpenAlexFDO

Authors Kunwoo Kim, Richard B. Sowers

Publication date 13 December 2012

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2012.704847

zbMATH Keywords

Euler-Maruyama schemefinite difference methodstochastic moving boundary problemtruncation

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

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Cited in

(6)

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• A Stefan-type stochastic moving boundary problem

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