Exact numerical algorithms for linear stochastic wave equation and stochastic Klein-Gordon equation

Martin, A. and Prigarin, Sergej and Winkler, Gerhard (2003): Exact numerical algorithms for linear stochastic wave equation and stochastic Klein-Gordon equation. Collaborative Research Center 386, Discussion Paper 327

Abstract

On the basis of integral representations we propose numerical methods to solve the stochastic wave equation and the stochastic Klein-Gordon equation. The algorithms are exact in a probabilistic sense.

• Item Type: Paper (Research Paper)
• Collections: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics
• Language: English