双边反射随机偏微分方程的近似逼近  

Lattice Approximations of SPDEs with Two Reflecting Walls

作　　者：周杰[1] Zhou Jie(School of Mathematical Sciences,Nankai University,Tianjin 300071,China)

机构地区：[1]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2024年第3期88-95,100,共9页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：研究了时空白噪声驱动的双边反射随机偏微分方程的数值逼近.利用离散化方法构造渐近方程组,并处理确定性障碍问题来得到收敛性.进一步地采用时空分离的两阶段近似估计验证了强收敛性.最后完成了双边反射随机偏微分方程的数值模拟.An approximation scheme for stochastic partial differential equations with two reflecting walls h^(1),h^(2),driven by space-time white noise is studied.The latice approximation scheme is used to study the convergence.A reflected SDE system is constructed to approximate the stochastic partial differential equations.Furthermore,a two-stage approximation method is applied to study the strong convergence of the scheme.A numerical scheme for reflected SPDE is also established.

关 键 词：反射随机偏微分方程 确定性障碍问题 独立时间区域Skorohod型问题 依分布收敛 

分 类 号：O211.6[理学—概率论与数理统计]