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
  • [21] STABILITY OF THE CHEBYSHEV COLLOCATION APPROXIMATION TO THE ADVECTION-DIFFUSION EQUATION
    MOFID, A
    PEYRET, R
    COMPUTERS & FLUIDS, 1993, 22 (4-5) : 453 - 465
  • [22] Deep learning solver for solving advection-diffusion equation in comparison to finite difference methods
    Salman, Ahmed Khan
    Pouyaei, Arman
    Choi, Yunsoo
    Lops, Yannic
    Sayeed, Alqamah
    COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2022, 115
  • [23] A study of the stability for a generalized finite-difference scheme applied to the advection-diffusion equation
    Tinoco-Guerrero, G.
    Dominguez-Mota, F. J.
    Tinoco-Ruiz, J. G.
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2020, 176 : 301 - 311
  • [24] Multi-dimensional asymptotically stable finite difference schemes for the advection-diffusion equation
    Abarbanel, S
    Ditkowski, A
    COMPUTERS & FLUIDS, 1999, 28 (4-5) : 481 - 510
  • [25] Performance of some finite difference methods for a 3D advection-diffusion equation
    Appadu, A. R.
    Djoko, J. K.
    Gidey, H. H.
    REVISTA DE LA REAL ACADEMIA DE CIENCIAS EXACTAS FISICAS Y NATURALES SERIE A-MATEMATICAS, 2018, 112 (04) : 1179 - 1210
  • [26] Multi-dimensional asymptotically stable finite difference schemes for the advection-diffusion equation
    Abarbanel, Saul
    Ditkowski, Adi
    Computers and Fluids, 28 (4-5): : 481 - 510
  • [27] SPECIAL MESHES FOR FINITE-DIFFERENCE APPROXIMATIONS TO AN ADVECTION-DIFFUSION EQUATION WITH PARABOLIC LAYERS
    HEGARTY, AF
    MILLER, JJH
    ORIORDAN, E
    SHISHKIN, GI
    JOURNAL OF COMPUTATIONAL PHYSICS, 1995, 117 (01) : 47 - 54
  • [28] Finite time Lyapunov exponent and advection-diffusion equation
    Tang, XZ
    Boozer, AH
    PHYSICA D-NONLINEAR PHENOMENA, 1996, 95 (3-4) : 283 - 305
  • [29] A non-standard finite difference method for space fractional advection-diffusion equation
    Liu, Ziting
    Wang, Qi
    NUMERICAL METHODS FOR PARTIAL DIFFERENTIAL EQUATIONS, 2021, 37 (03) : 2527 - 2539
  • [30] Finite Element Method for Solving the Advection-Diffusion Equation
    Amali, Onjefu
    Agwu, Nwojo N.
    2017 13TH INTERNATIONAL CONFERENCE ON ELECTRONICS, COMPUTER AND COMPUTATION (ICECCO), 2017,
12345