摘要
研究了时空白噪声驱动的双边反射随机偏微分方程的数值逼近.利用离散化方法构造渐近方程组,并处理确定性障碍问题来得到收敛性.进一步地采用时空分离的两阶段近似估计验证了强收敛性.最后完成了双边反射随机偏微分方程的数值模拟.
An approximation scheme for stochastic partial differential equations with two reflecting walls h^(1),h^(2),driven by space-time white noise is studied.The latice approximation scheme is used to study the convergence.A reflected SDE system is constructed to approximate the stochastic partial differential equations.Furthermore,a two-stage approximation method is applied to study the strong convergence of the scheme.A numerical scheme for reflected SPDE is also established.
作者
周杰
Zhou Jie(School of Mathematical Sciences,Nankai University,Tianjin 300071,China)
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2024年第3期88-95,100,共9页
Acta Scientiarum Naturalium Universitatis Nankaiensis
关键词
反射随机偏微分方程
确定性障碍问题
独立时间区域Skorohod型问题
依分布收敛
stochastic partial differential equation with reflection
deterministic obstacle problems
Skorohodtype problems on time-dependent domains
convergence in the sense of distributions
