TY - JOUR
T1 - Numerical Analysis of the Stochastic Moving Boundary Problem
AU - Kim, Kunwoo
AU - Sowers, Richard B.
N1 - Funding Information:
Received August 10, 2011; Accepted February 14, 2012 This work was supported by NSF grant DMS0705260. R.S. would like to thanks the Departments of Mathematics and Statistics of Stanford University for their hospitality in the Spring of 2010 during a sabbatical stay. The authors would like to thank the anonymous referee for his helpful suggestions concerning the presentation of this paper. Address correspondence to Kunwoo Kim, University of Utah, Salt Lake City, UT 84112, USA; E-mail: [email protected]
PY - 2012/11
Y1 - 2012/11
N2 - We consider a numerical solution of the stochastic moving boundary value problem, whose existence and uniqueness of solution are proved in [16]. 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.
AB - We consider a numerical solution of the stochastic moving boundary value problem, whose existence and uniqueness of solution are proved in [16]. 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.
KW - Eunler-Maruyama scheme
KW - Finite difference method
KW - Stochastic moving boundary problem
KW - Truncation
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U2 - 10.1080/07362994.2012.704847
DO - 10.1080/07362994.2012.704847
M3 - Article
AN - SCOPUS:84868706147
SN - 0736-2994
VL - 30
SP - 963
EP - 996
JO - Stochastic Analysis and Applications
JF - Stochastic Analysis and Applications
IS - 6
ER -