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A splitting method for stochastic goursat problem

 

作者: V.V. Anh,   W. Grecksch,   A. Wadewitz,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1999）
卷期: Volume 17, issue 3  

页码: 315-326

 

ISSN:0736-2994

 

年代: 1999

 

DOI:10.1080/07362999908809603

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

This paper presents an approximation of a stochastic Goursat problem by splitting it into a sequence of deterministic Goursat problems with random boundary conditions and a sequence of Ito integrals, where both sequences are coupled by initial conditions. The solutions of these problems are shown to converge in mean square to the solution of the stochastic Goursat problem

 

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