Constructing mean square approximations of decomposable space-time uncertainty diffusion models

Cortés López Juan Carlos, Jódar Sánchez Lucas Antonio, Romero Bauset José Vicente, LAURA VILLAFUERTE

2012

Journal of Egyptian-Chinese of Computational and Applied Mathematics

In this paper mixed diffusion models under decomposable space-time uncertainty are studied. Existence conditions for constructing a mean square convergent series stochastic solution process are given. Methods for constructing numerical mean square approximations and computing the expectation and variance are illustrated by an example.