STOCHASTIC DIFFERENTIAL EQUATION FOR WHITE NOISE FUNCTIONALS

Stochastic heat equation with white-noise drift

Numerical Solution of Heun Equation Via Linear Stochastic Differential Equation

In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...

A quasilinear stochastic partial differential equation driven by fractional white noise

We approximate the solution of a quasilinear stochastic partial differential equation driven by fractional Brownian motion BH(t); H ∈ (0, 1), which was calculated via fractional White Noise calculus, see [5].

On Stochastic Navier-Stokes Equation Driven by Stationary White Noise

We consider an unbiased approximation of stochastic Navier-Stokes equation driven by spatial white noise. This perturbation is unbiased in that the expectation of a solution of the perturbed equation solves the deterministic Navier-Stokes equation. The nonlinear term can be characterized as the highest stochastic order approximation of the original nonlinear term u∇u. We investigate the analyti...

The Stochastic Transport Equation Driven by Lévy White Noise

In this paper we demonstrate how concepts of white noise analysis can be used to give an explicit solution to a stochastic transport equation driven by Lévy white noise.