stochastic finite element technique for stochastic one-dimension time-dependent differential equations with random coefficients随机有限元技术,随机一维时变和随机微分方程系数.pdfVIP

Hindawi Publishing Corporation Differential Equations and Nonlinear Mechanics Volume 2007, Article ID 48527, 16 pages doi:10.1155/2007/48527 Research Article Stochastic Finite Element Technique for Stochastic One-Dimension Time-Dependent Differential Equations with Random Coefficients M. M. Saleh, I. L. El-Kalla, and M. M. Ehab Received 19 September 2006; Revised 24 January 2007; Accepted 14 March 2007 Recommended by Giuseppe Saccomandi The stochastic finite element method (SFEM) is employed for solving stochastic one- dimension time-dependent differential equations with random coefficients. SFEM is used to have a fixed form of linear algebraic equations for polynomial chaos coefficients of the solution process. Four fixed forms are obtained in the cases of stochastic heat equation with stochastic heat capacity or heat conductivity coefficients and stochastic wave equa- tion with stochastic mass density or elastic modulus coefficients. The relation between the exact deterministic solution and the mean of solution process is numerically studied. Copyright © 2007 M. M. Saleh et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction The objective of solving a stochastic differential equation is to obtain the p.d.f. and the different moments of the solution process. This can be achieved through many methods and techniques, for example the stochastic averaging [1–3], stochastic linearization [4–6], Adomian’s decomposition method [7, 8], and stochastic finite element method [9– 12]. In this paper, SFEM is applied on stochastic heat and wave equations. The stochastic coefficients are decomposed by Karhunen-Loeve (K-L) expansion. The obtained set of ordinary differential equations is solved using the θ-dependent family. Then the solution process at every time step is projecte