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Fouque, J.P., Papanicolaou, G. and Sircar, R. (2004) Stochastic Volatility and Correction to the Heat Equation, Seminar on Stochastic Analysis, Random Fields and Applications IV. Progress in Probability, 58, 267-276.

has been cited by the following article:

• TITLE: A Review of Wavelets Solution to Stochastic Heat Equation with Random Inputs

  AUTHORS: Anthony Y. Aidoo, Matilda Wilson

  KEYWORDS: Wavelets, Stochastic, Heat Equation, Collocation

  JOURNAL NAME: Applied Mathematics, Vol.6 No.14, December 23, 2015

  ABSTRACT: We consider a wavelet-based solution to the stochastic heat equation with random inputs. Computational methods based on the wavelet transform are analyzed for solving three types of stochastic heat equation. The methods are shown to be very convenient for solving such problems, since the initial and boundary conditions are taken into account automatically. The results reveal that the wavelet algorithms are very accurate and efficient.