Finite difference approximation for stochastic parabolic partial differential equations

Hdl Handle:
http://hdl.handle.net/10034/121676
Title:
Finite difference approximation for stochastic parabolic partial differential equations
Authors:
Patel, Babubhai M
Abstract:
Differential equations, especially partial differential equations (PDES) have wide range of applications in sciences, finance (economics), Engineering and so forth. In last decade, substantial amount of work has been done in studying stochastic partial differential equations (SPDES). A SPDE is a PDE containing a random ‘noise’ term. SPDES have no analytical solutions. Various numerical methods have been developed from time to time and tested for their validity using Matlab program. In this thesis, the author will discuss the finite difference method for stochastic parabolic partial differential equations. Matlab software is used for simulation of the solution of this equation. The main objective of this thesis is to investigate the finite difference approximation of a stochastic parabolic partial differential equation with white noise. The author discusses alternative proof for error bounds using Green function in support of this method.
Advisors:
Yan, Yubin
Publisher:
University of Chester
Issue Date:
Sep-2009
URI:
http://hdl.handle.net/10034/121676
Type:
Thesis or dissertation
Language:
en
Appears in Collections:
MPhil / PhD Theses and Masters Dissertations

Full metadata record

DC FieldValueLanguage
dc.contributor.advisorYan, Yubinen
dc.contributor.authorPatel, Babubhai Men
dc.date.accessioned2011-02-11T10:28:31Z-
dc.date.available2011-02-11T10:28:31Z-
dc.date.issued2009-09-
dc.identifier.urihttp://hdl.handle.net/10034/121676-
dc.description.abstractDifferential equations, especially partial differential equations (PDES) have wide range of applications in sciences, finance (economics), Engineering and so forth. In last decade, substantial amount of work has been done in studying stochastic partial differential equations (SPDES). A SPDE is a PDE containing a random ‘noise’ term. SPDES have no analytical solutions. Various numerical methods have been developed from time to time and tested for their validity using Matlab program. In this thesis, the author will discuss the finite difference method for stochastic parabolic partial differential equations. Matlab software is used for simulation of the solution of this equation. The main objective of this thesis is to investigate the finite difference approximation of a stochastic parabolic partial differential equation with white noise. The author discusses alternative proof for error bounds using Green function in support of this method.en
dc.language.isoenen
dc.publisherUniversity of Chesteren
dc.subjectstochastic parabolic partial differential equationen
dc.subjectwhite noiseen
dc.subjectgreen functionen
dc.subjectBrownian motionen
dc.subjectisometry propertyen
dc.subjectforward Euler methoden
dc.subjectbackward Euler methoden
dc.subjectCrank-Nicolson methoden
dc.titleFinite difference approximation for stochastic parabolic partial differential equationsen
dc.typeThesis or dissertationen
dc.type.qualificationnameMScen
dc.type.qualificationlevelMasters Degreeen
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