Exact and Fast Numerical Algorithms for the Stochastic Wave Equation

Martin, A.; Prigarin, Sergej; Winkler, Gerhard (2003): Exact and Fast Numerical Algorithms for the Stochastic Wave Equation. Collaborative Research Center 386, Discussion Paper 349

Abstract

On the basis of integral representations we propose fast numerical methods to solve the Cauchy problem for the stochastic wave equation without boundaries and with the Dirichlet boundary conditions. The algorithms are exact in a probabilistic sense.

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