We consider a numerical solution of the stochastic moving boundary value problem, whose existence and uniqueness of solution are proved in . Numerical approximations are based on the transformation, which transforms the stochastic moving boundary problem whose spatial domain is a priori unknown to a nonlinear stochastic partial differential equation which has a fixed spatial domain. We construct a numerical solution of the nonlinear stochastic partial differential equation and investigate the convergence theory.
- Eunler-Maruyama scheme
- Finite difference method
- Stochastic moving boundary problem
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics