Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines
AbstractA stochastic partial differential equation, or SPDE, describes the dynamics of a stochastic process defined on a space-time continuum. This paper provides a new method for solving SPDEs based on the method of lines (MOL). MOL is a technique that has largely been used for numerically solving deterministic partial differential equations (PDEs). MOL works by transforming the PDE into a system of ordinary differential equations (ODEs) by discretizing the spatial dimension of the PDE. The resulting system of ODEs is then solved by application of either a finite difference or a finite element method. This paper provides a proof that the MOL can be used to provide a finite difference approximation of the boundary value solutions for two broad classes of linear SPDEs, the linear elliptic and parabolic SPDEs.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 3983.
Date of creation: 10 Oct 2006
Date of revision: 30 May 2007
Finite difference approximation; linear stochastic partial differential equations (SPDEs); the method of lines (MOL);
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ma, Jin & Yong, Jiongmin, 1997. "Adapted solution of a degenerate backward spde, with applications," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 70(1), pages 59-84, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.