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Non-Gaussian Quadrature Integral Transform Solution of Parabolic Models with a Finite Degree of Randomness

Author

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  • María-Consuelo Casabán

    (Instituto Universitario de Matemática Multidisciplinar, Building 8G, access C, 2nd floor, 46022 Valencia, Spain
    Universitat Politècnica de València, Camino de Vera s/n, 46022 Valencia, Spain
    These authors contributed equally to this work.)

  • Rafael Company

    (Instituto Universitario de Matemática Multidisciplinar, Building 8G, access C, 2nd floor, 46022 Valencia, Spain
    Universitat Politècnica de València, Camino de Vera s/n, 46022 Valencia, Spain
    These authors contributed equally to this work.)

  • Lucas Jódar

    (Instituto Universitario de Matemática Multidisciplinar, Building 8G, access C, 2nd floor, 46022 Valencia, Spain
    Universitat Politècnica de València, Camino de Vera s/n, 46022 Valencia, Spain
    These authors contributed equally to this work.)

Abstract

In this paper, we propose an integral transform method for the numerical solution of random mean square parabolic models, that makes manageable the computational complexity due to the storage of intermediate information when one applies iterative methods. By applying the random Laplace transform method combined with the use of Monte Carlo and numerical integration of the Laplace transform inversion, an easy expression of the approximating stochastic process allows the manageable computation of the statistical moments of the approximation.

Suggested Citation

  • María-Consuelo Casabán & Rafael Company & Lucas Jódar, 2020. "Non-Gaussian Quadrature Integral Transform Solution of Parabolic Models with a Finite Degree of Randomness," Mathematics, MDPI, vol. 8(7), pages 1-16, July.
    • Handle: RePEc:gam:jmathe:v:8:y:2020:i:7:p:1112-:d:380895
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    References listed on IDEAS

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