On the numerical solution of parabolic stochastic differential equation
Küçük Resim Yok
Tarih
2009
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Maltepe Üniversitesi
Erişim Hakkı
CC0 1.0 Universal
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
We are interested in studying the stable difference schemes for the approximate solutions of the nonlocal boundary value problem for parabolic stochastic differential equation du(t) + Au(t)dt = f(t)d?t (0 ? t ? T), u(0) = u(T) + ??T in a Hilbert space H with self-adjoint positive definite operator A. Here, Wt is a standard Wiener process given on the probability space (?; F ; P ). In the present paper the first and second orders of accuracy difference schemes for approximately solving this nonlocal boundary value problem are presented. The convergence estimates for the solution of these difference schemes are established. A numerical method is proposed for solving the stochastic parabolic partial differential equation with nonlocal boundary condition. The first and second order of accuracy difference schemes are presented. A procedure of modified Gauss elimination method is used for solving these difference schemes in the case of a one-dimensional stochastic parabolic partial differential equation. The method is illustrated by numerical examples.
Açıklama
Anahtar Kelimeler
Kaynak
International Conference of Mathematical Sciences
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
Künye
Ashralyev, A. ve San, M. E. (2009).On the numerical solution of parabolic stochastic differential equation. Maltepe Üniversitesi. s. 93.
