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