Constructing approximate diffusion processes with uncertain data

J.C. Cortés, P. Sevilla-Peris and L. Jódar

Mathematics and Computers in Simulation (MATCOM), 2006, vol. 73, issue 1, 125-132

Abstract: In this paper discrete approximate processes of mixed diffusion problems under spatial uncertainty are constructed using random difference schemes. Conditions for the existence of a series stochastic solution process are given using a stochastic separation of variable method. Expectation and standard deviation of the approximate stochastic processes are computed for an illustrative example.

Keywords: Diffusion problems; Mean square calculus; Stochastic processes (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:73:y:2006:i:1:p:125-132

DOI: 10.1016/j.matcom.2006.06.009

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