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A fully discrete approximation of the one-dimensional stochastic heat equation driven by multiplicative space-time white noise is presented. The standard finite difference approximation is used in space and a stochastic exponential method is used for
Externí odkaz:
http://arxiv.org/abs/1711.08340
Autor:
Anton, Rikard, Cohen, David
We study an explicit exponential scheme for the time discretisation of stochastic Schr\"odinger equations driven by additive or multiplicative Ito noise. The numerical scheme is shown to converge with strong order $1$ if the noise is additive and wit
Externí odkaz:
http://arxiv.org/abs/1601.06623
A fully discrete approximation of the semi-linear stochastic wave equation driven by multiplicative noise is presented. A standard linear finite element approximation is used in space and a stochastic trigonometric method for the temporal approximati
Externí odkaz:
http://arxiv.org/abs/1503.00073
Autor:
Anton, Rikard, Cohen, David
Publikováno v:
Journal of Computational Mathematics, 2018 Mar 01. 36(2), 276-309.
Externí odkaz:
https://www.jstor.org/stable/45151490
Publikováno v:
SIAM Journal on Numerical Analysis, 2016 Jan 01. 54(2), 1093-1119.
Externí odkaz:
http://www.jstor.org/stable/43901601
Akademický článek
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Autor:
Anton, Rikard
Stochastic partial differential equations (SPDEs) have during the past decades become an important tool for modeling systems which are influenced by randomness. Because of the complex nature of SPDEs, knowledge of efficient numerical methods with goo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::52ef2479ae00def96fb7cfb7cef37ffa
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-146949
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-146949