Article contents
Difference Approximation of Stochastic Elastic Equation Driven by Infinite Dimensional Noise
Part of:
Partial differential equations, initial value and time-dependent initial-boundary value problems
Stochastic analysis
Published online by Cambridge University Press: 15 February 2016
Abstract
An explicit difference scheme is described, analyzed and tested for numerically approximating stochastic elastic equation driven by infinite dimensional noise. The noise processes are approximated by piecewise constant random processes and the integral formula of the stochastic elastic equation is approximated by a truncated series. Error analysis of the numerical method yields estimate of convergence rate. The rate of convergence is demonstrated with numerical experiments.
Keywords
MSC classification
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- Research Article
- Information
- Numerical Mathematics: Theory, Methods and Applications , Volume 9 , Issue 1 , February 2016 , pp. 123 - 146
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- Copyright © Global-Science Press 2016
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