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Numerical Solution of Wick-Stochastic Partial Differential Equations

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Proceedings of the International Conference on Stochastic Analysis and Applications

Abstract

We consider the numerical approximation of linear Wick-stochastic boundary value problems of elliptic and parabolic type. Numerical methods based on a Galerkin type of approximation are described and convergence results are reported. To illustrate the approach we consider three specific examples: The stochastic Poisson equation, the parabolic Wick-stochastic pressure equation, and a Wick version of the viscous Burgers’ equation with stochastic source. The latter example is nonlinear and falls outside the scope of the theory, but the ideas still can be applied and numerical results are reported.

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Author information

Authors and Affiliations

  1. Department of Mathematical Sciences, Norwegian University of Science and Technology, N-7491, Trondheim, Norway

    Thomas Gorm Theting

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  1. Thomas Gorm Theting
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Editors and Affiliations

  1. University of Bonn, Bonn, Germany

    Sergio Albeverio

  2. University Paris 7, Paris, France

    Anne Boutet de Monvel

  3. Tunis University, Tunis, Tunisia

    Habib Ouerdiane

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© 2004 Springer Science+Business Media Dordrecht

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Theting, T.G. (2004). Numerical Solution of Wick-Stochastic Partial Differential Equations. In: Albeverio, S., de Monvel, A.B., Ouerdiane, H. (eds) Proceedings of the International Conference on Stochastic Analysis and Applications. Springer, Dordrecht. https://doi.org/10.1007/978-1-4020-2468-9_18

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  • DOI: https://doi.org/10.1007/978-1-4020-2468-9_18

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-90-481-6661-9

  • Online ISBN: 978-1-4020-2468-9

  • eBook Packages: Springer Book Archive

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