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Martin, A.; 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 [PDF, 240kB]


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.

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