Analysis of Solutions of 2nd Order Stochastic Parabolic Equations
Using a computational method to solve parabolic differential equations is a feat that can be done with relative simplicity. However, when the stochasticity, i.e. the randomness of coefficients, is introduced into the equation, things become more complicated. The goal in solving a stochastic differential equation is different from the goal in solving a deterministic equation. In solving a stochastic equation we try to determine the expectation or the variance of the set of "possible" solutions of the considered equation. A method already exists which yields reasonably good results that can be ...
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