An explicit numerical scheme for the computer simulation of the stochastic transport equation

被引：0
|
作者：
de la Cruz, H. [1 ]
Olivera, C. [2 ]
机构：
[1] FGV, Sch Appl Math, Praia Botafogo 190, Rio De Janeiro, Brazil
[2] Univ Estadual Campinas, UNICAMP, IMECC, Sao Paulo, Brazil
来源：
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2022年 / 110卷
基金：
巴西圣保罗研究基金会;
关键词：
Computational methods; Random differential equations; Stochastic transport equation; Local linearization approach; Numerical simulation of stochastic systems; LOCAL LINEARIZATION METHOD; DIFFERENTIAL-EQUATIONS; CONVERGENCE;
D O I：
10.1016/j.cnsns.2022.106378
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A computational method for the numerical integration of the stochastic transport equation is proposed. We develop an approach to construct an explicit numerical scheme for the effective simulation of trajectories of solutions of this equation. Results on its convergence and details on its efficient computational implementation are presented. The performance of the proposed scheme is illustrated by means of computer simulations. (C) 2022 Elsevier B.V. All rights reserved.
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页数：14
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