
doi: 10.1137/0716075
A finite element method is derived for solving equations of the following type \[ - (p(x)u'(x,\omega ))' + (q(x) + r(x)\lambda (\omega ))^2 u(x,\omega ) = f(x,\omega ),\quad 0 \leqq x \leqq l,\] with boundary conditions $u(0,\omega ) \equiv u(l,\omega ) \equiv 0$ where (i) $0 < p \in C^1 [0,l]$; (ii) $q,r \in C[0,l]$; (iii) $f(x,\omega ) = B'(x,\omega )$ is the white noise; (iv) $\lambda (\omega )$ is a standard Gaussian random variable and is independent of $B(x,\omega )$ for all $0 \leqq x \leqq l$. We can think of $(q(x) + r(x)\lambda (\omega ))^2 $ as a random perturbation of the deterministic $q(x)^2 $.The error of the finite element solution is estimated and possible extensions are discussed.
Numerical solution of boundary value problems involving ordinary differential equations, Ordinary differential equations and systems with randomness, error estimates, finite element method, random differential equations, Probabilistic methods, stochastic differential equations, random coefficients, Stochastic ordinary differential equations (aspects of stochastic analysis)
Numerical solution of boundary value problems involving ordinary differential equations, Ordinary differential equations and systems with randomness, error estimates, finite element method, random differential equations, Probabilistic methods, stochastic differential equations, random coefficients, Stochastic ordinary differential equations (aspects of stochastic analysis)
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