Numerical integration of stochastic partial differential equations

DOI10.1016/0010-4655(93)90014-4MaRDI QIDQ1923720zbMATH OpenOpenAlexFDO

Authors M. Seeßelberg, Francesco Petruccione

Publication date 27 January 1997

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0010-4655(93)90014-4

zbMATH Keywords

stochastic partial differential equationsnumerical resultsalgorithmdiffusion equationcorrelation functionsstochastic Euler proceduresystem of stochastic ordinary differential equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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Cited in

(21)

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• scientific article; zbMATH DE number 5568602 (Why is no real title available?)
• scientific article; zbMATH DE number 750752 (Why is no real title available?)
• Efficient discretization of stochastic integrals
• A numerical method for some stochastic differential equations with multiplicative noise
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• scientific article; zbMATH DE number 780705 (Why is no real title available?)
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• scientific article; zbMATH DE number 1421747 (Why is no real title available?)
• scientific article; zbMATH DE number 4098431 (Why is no real title available?)
• scientific article; zbMATH DE number 45514 (Why is no real title available?)
• scientific article; zbMATH DE number 4216279 (Why is no real title available?)
• scientific article; zbMATH DE number 6175359 (Why is no real title available?)
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

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