Constructing approximate diffusion processes with uncertain data

DOI10.1016/J.MATCOM.2006.06.009MaRDI QIDQ853229zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3176473 (Why is no real title available?)
• scientific article; zbMATH DE number 1313649 (Why is no real title available?)
• scientific article; zbMATH DE number 1497554 (Why is no real title available?)
• scientific article; zbMATH DE number 3321704 (Why is no real title available?)
• Analytic-numerical approximating processes of diffusion equation with data uncertainty
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mixed problems for separated variable coefficient wave equations: Analytic-numerical solutions with a priori error bounds
• Random Transverse Vibrations of Elastic Beams
• Random differential equations in science and engineering

Cited in

(3)

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

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