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Higher Order Pathwise Numerical Approximations of SPDEs with Additive Noise

โœ Scribed by Jentzen, Arnulf


Book ID
118182624
Publisher
Society for Industrial and Applied Mathematics
Year
2011
Tongue
English
Weight
337 KB
Volume
49
Category
Article
ISSN
0036-1429

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A higher order approximate model of sing
โœ Kazuo Yamanaka; Masahiro Agu ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 302 KB

A method to eliminate the fast modes in a singularly perturbed system driven by white noise is presented together with error analysis. An approximate model is derived by replacing the transfer functions of the fast elements with their truncated Maclaurin expansions. It is shown that if the slow elem