Solving parabolic Wick-stochastic boundary value problems using a finite element method

DOI10.1080/1045112021000040973MaRDI QIDQ4804692zbMATH OpenOpenAlexFDO

Authors Thomas Gorm Theting

Publication date 15 July 2003

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1045112021000040973

zbMATH Keywords

finite element methodGalerkin type approximationslinear parabolic stochastic boundary value problemsWick-type

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) White noise theory (60H40) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cited in

(5)

• Robust parameter estimation for stochastic differential equations
• A priori error estimates for finite element approximations of parabolic stochastic partial differential equations with generalized random variables
• A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations
• Mixed finite element method for the heat diffusion equation in a random medium
• A finite element approximation of linear stochastic PDEs driven by multiplicative white noise

Describes a project that uses

Uses Software

• Diffpack

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