Exact and fast numerical algorithms for the stochastic wave equation

On the basis of integral representations we propose fast numerical methods to solve the Cauchy problem for the stochastic wave equation without boundaries and with the Dirichlet boundary conditions. The algorithms are exact in a probabilistic sense.

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Year of publication:	2003
Authors:	Martin, Andreas ; Prigarin, Sergej M. ; Winkler, Gerhard
Publisher:	München : Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen

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Series:	Discussion Paper ; 349
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.1725 [DOI] 481653856 [GVK] hdl:10419/31102 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010276310