Constructing approximate diffusion processes with uncertain data

In this paper discrete approximate processes of mixed diffusion problems under spatial uncertainty are constructed using random difference schemes. Conditions for the existence of a series stochastic solution process are given using a stochastic separation of variable method. Expectation and standard deviation of the approximate stochastic processes are computed for an illustrative example.

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Year of publication:	2006
Authors:	Cortés, J.C. ; Sevilla-Peris, P. ; Jódar, L.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 73.2006, 1, p. 125-132
Publisher:	Elsevier
Subject:	Diffusion problems \| Mean square calculus \| Stochastic processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011050917