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Original Articles

Exact and fast numerical algorithms for the stochastic wave equation

, &
Pages 1535-1541 | Received 06 May 2003, Published online: 12 May 2010
 

Abstract

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 Dirichlet boundary conditions. The algorithms are exact in a probabilistic sense.

Acknowledgement

This work was partly supported by a DAAD Doktorandenstipendium im Rahmen des gemeinsamen Hochschulsonderprogramms III von Bund und Ländern.

Notes

E-mail: [email protected]

E-mail: [email protected]

Additional information

Notes on contributors

Sergei M. PrigarinFootnote

†E-mail: [email protected]

Gerhard WinklerFootnote

‡E-mail: [email protected]

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