Approximation of stochastic advection-diffusion equation using compact finite difference technique

被引：0
|
作者：
Bishehniasar, M. [1 ]
Soheili, A. R. [2 ]
机构：
[1] Univ Sistan & Baluchestan Zahedan, Dept Math, Sistan Va Baluchestan, Iran
[2] Ferdowsi Univ Mashhad, Sch Math Sci, Dept Appl Math, Ctr Excellence Modeling & Control Syst, Mashhad, Iran
来源：
IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A-SCIENCE | 2013年 / 37卷 / A3期
关键词：
Stochastic partial differential equation; compact finite difference scheme; stability; semi-implicit; Milstein method; STABILITY; SCHEMES; DRIVEN; NOISE;
D O I：
暂无
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
In this paper, we propose a new method for solving the stochastic advection-diffusion equation of Ito type. In this work, we use a compact finite difference approximation for discretizing spatial derivatives of the mentioned equation and semi-implicit Milstein scheme for the resulting linear stochastic system of differential equation. The main purpose of this paper is the stability investigation of the applied method. finally, some numerical examples are provided to show the accuracy and efficiency of the proposed technique.
引用
收藏
页码：327 / 333
页数：7
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