A Weighted Average Finite Difference Scheme for the Numerical Solution of Stochastic Parabolic Partial Differential Equations

被引：0

作者：

Baleanu, Dumitru ^{[1
,2
,3
]}

Namjoo, Mehran ^{[4
]}

Mohebbian, Ali ^{[4
]}

Jajarmi, Amin ^{[5
]}

机构：

[1] Cankaya Univ, Fac Arts & Sci, Dept Math, TR-06530 Ankara, Turkey

[2] Inst Space Sci, Magurele 76900, Romania

[3] China Med Univ Hosp, China Med Univ, Dept Med Res, Taichung 40402, Taiwan

[4] Vali Asr Univ Rafsanjan, Dept Math, Rafsanjan 7718897111, Iran

[5] Univ Bojnord, Dept Elect Engn, Bojnord 945311339, Iran

来源：

CMES-COMPUTER MODELING IN ENGINEERING & SCIENCES | 2023年 / 135卷 / 02期

关键词：

Ito equation; stochastic process; finite difference scheme; stability and convergence; consistency; APPROXIMATION; CONVERGENCE; STABILITY;

D O I：

10.32604/cmes.2022.022403

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In the present paper, the numerical solution of Ito type stochastic parabolic equation with a time white noise process is imparted based on a stochastic finite difference scheme. At the beginning, an implicit stochastic finite difference scheme is presented for this equation. Some mathematical analyses of the scheme are then discussed. Lastly, to ascertain the efficacy and accuracy of the suggested technique, the numerical results are discussed and compared with the exact solution.

引用

页码：1147 / 1163

页数：17

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