Numerical Solution of the Dirichlet Problem for Linear Parabolic SPDEs Based on Averaging over Characteristics

Vasile N. Stanciulescu () and Michael V. Tretyakov
Additional contact information
Vasile N. Stanciulescu: University of Leicester, Department of Mathematics
Michael V. Tretyakov: University of Leicester, Department of Mathematics

A chapter in Stochastic Analysis 2010, 2011, pp 191-212 from Springer

Abstract: Abstract Numerical methods for the Dirichlet problem for linear parabolic stochastic partial differential equations are constructed. The methods are based on the averaging-over-characteristic formula and the weak-sense numerical integration of ordinary stochastic differential equations in bounded domains. Their orders of convergence in the mean-square sense and in the sense of almost sure convergence are obtained. The Monte Carlo technique is used for practical realization of the methods. Results of some numerical experiments are presented.

Keywords: Mean-square and almost sure convergence; Monte Carlo technique; Numerical integration of stochastic differential equations in bounded domains; Probabilistic representations of solutions of stochastic partial differential equations; The first boundary value problem (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15358-7_9

Ordering information: This item can be ordered from
http://www.springer.com/9783642153587

DOI: 10.1007/978-3-642-15358-7_9

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().