A splitting method for a stochastic Goursat problem

被引：10

作者：

Anh, VV

Grecksch, W

Wadewitz, A

机构：

[1] Queensland Univ Technol, Ctr Stat Sci & Ind Math, Brisbane, Qld 4001, Australia

[2] Univ Halle Wittenberg, Inst Optimierung & Stochast, Fachbereich Math & Informat, D-06120 Halle, Germany

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 1999年 / 17卷 / 03期

关键词：

D O I：

10.1080/07362999908809603

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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.

引用

页码：315 / 326

页数：12

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