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Finite Element and Difference Approximation of Some Linear Stochastic Partial Differential Equations

Finite Element and Difference Approximation of Some Linear Stochastic Partial Differential Equations,E. j. Allen,S. j. Novosel,Z. Zhang

Finite Element and Difference Approximation of Some Linear Stochastic Partial Differential Equations   (Citations: 39)
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Difference and finite element methods are described, analyzed, and tested for numericalsolution of linear parabolic and elliptic SPDEs driven by white noise. Weak andintegral formulations of the stochastic partial differential equations are approximated,respectively, by finite element and difference methods. The white noise processes areapproximated by piecewise constant random processes to facilitate convergence proofsfor the finite element method. Error analyses of the two numerical...
Published in 1996.
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