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Weak approximation of the stochastic wave equation

โœ Scribed by Erika Hausenblas

Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
538 KB
Volume
235
Category
Article
ISSN
0377-0427

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โœฆ Synopsis

We investigate the accuracy of approximation of E[ฯ•(u(t))], where {u(t) : t โˆˆ [0, โˆž)} is the solution of the stochastic wave equation driven by the space-time white noise and ฯ• is an R-valued function defined on the Hilbert space L 2 (R). The approximation is done by the leap-frog scheme. We show that, under certain conditions on ฯ•, the approximation by the leap-frog scheme is of order two.

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