Exact and fast numerical algorithms for the stochastic wave equation

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.

Keywords:

• Stochastic wave equation
• Numerical simulation
• Isonormal process

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. Prigarin†

†E-mail: [email protected]

Gerhard Winkler‡

‡E-mail: [email protected]