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
相关论文
共 50 条
  • [11] Computational technique for heat and advection-diffusion equations
    Jena, Saumya Ranjan
    Gebremedhin, Guesh Simretab
    SOFT COMPUTING, 2021, 25 (16) : 11139 - 11150
  • [12] High-order finite volume schemes for the advection-diffusion equation
    Hernández, JA
    INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN ENGINEERING, 2002, 53 (05) : 1211 - 1234
  • [13] Finite Difference Methods for Space Fractional Advection-Diffusion Equations with Variable Coefficients
    Bu, Weiping
    Xiao, Aiguo
    Tang, Yifa
    SYSTEM SIMULATION AND SCIENTIFIC COMPUTING, PT II, 2012, 327 : 95 - +
  • [14] A Numerical Algorithm for the Caputo Tempered Fractional Advection-Diffusion Equation
    Guan, Wenhui
    Cao, Xuenian
    COMMUNICATIONS ON APPLIED MATHEMATICS AND COMPUTATION, 2021, 3 (01) : 41 - 59
  • [15] Approximation of stochastic advection diffusion equations with Stochastic Alternating Direction Explicit methods
    Soheili, Ali R.
    Arezoomandan, Mahdieh
    APPLICATIONS OF MATHEMATICS, 2013, 58 (04) : 439 - 471
  • [16] Stability and convergence of the difference methods for the space-time fractional advection-diffusion equation
    Liu, F.
    Zhuang, P.
    Anh, V.
    Turner, I.
    Burrage, K.
    APPLIED MATHEMATICS AND COMPUTATION, 2007, 191 (01) : 12 - 20
  • [17] Compact finite difference method for the fractional diffusion equation
    Cui, Mingrong
    JOURNAL OF COMPUTATIONAL PHYSICS, 2009, 228 (20) : 7792 - 7804
  • [18] A fully implicit finite difference scheme based on extended cubic B-splines for time fractional advection-diffusion equation
    Mohyud-Din, Syed Tauseef
    Akram, Tayyaba
    Abbas, Muhammad
    Ismail, Ahmad Izani
    Ali, Norhashidah H. M.
    ADVANCES IN DIFFERENCE EQUATIONS, 2018,
  • [19] An accurate numerical technique for solving fractional advection-diffusion equation with generalized Caputo derivative
    Nagy, A. M.
    Issa, K.
    ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND PHYSIK, 2024, 75 (05):
  • [20] Finite Difference Method for Time-Space Fractional Advection-Diffusion Equations with Riesz Derivative
    Arshad, Sadia
    Baleanu, Dumitru
    Huang, Jianfei
    Al Qurashi, Maysaa Mohamed
    Tang, Yifa
    Zhao, Yue
    ENTROPY, 2018, 20 (05)
12345