Constructing approximate diffusion processes with uncertain data

DOI10.1016/J.MATCOM.2006.06.009zbMATH Open1103.65010OpenAlexW2065138106MaRDI QIDQ853229FDOQ853229

Authors: Juan Cortés, Pablo Sevilla-Peris, L. Jódar 

Publication date: 15 November 2006

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.06.009

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zbMATH Keywords

stochastic processesnumerical examplemean square calculusdiffusion problemsrandom difference schemes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Random differential equations in science and engineering
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• Analytic-numerical approximating processes of diffusion equation with data uncertainty
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• Random Transverse Vibrations of Elastic Beams
• Mixed problems for separated variable coefficient wave equations: Analytic-numerical solutions with a priori error bounds

Cited In (3)

• Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme
• Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
• Analytic-numerical approximating processes of diffusion equation with data uncertainty

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