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Martin, A.; Prigarin, Sergej and Winkler, Gerhard (2003): Exact and Fast Numerical Algorithms for the Stochastic Wave Equation. Collaborative Research Center 386, Discussion Paper 349 [PDF, 325kB]


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.

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