Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods.

DOI10.1007/S10492-013-0022-6MaRDI QIDQ375448zbMATH OpenOpenAlexFDO

Authors Ali R. Soheili, Mahdieh Arezoomandan

Publication date 30 October 2013

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/143340

zbMATH Keywords

alternating direction methodfinite difference methodstochastic partial differential equationLiu methodSaul'ev method

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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• An algorithmic introduction to numerical simulation of stochastic differential equations
• Approximation of stochastic parabolic differential equations with two different finite difference schemes
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Difference Methods for Stochastic Partial Differential Equations
• Finite element and difference approximation of some linear stochastic partial differential equations
• Method of lines for stochastic boundary-value problems with additive noise
• On the stability of alternating‐direction explicit methods for advection‐diffusion equations
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes

Cited in

(10)

• Numerical scheme and analytical solutions to the stochastic nonlinear advection diffusion dynamical model
• Numerical solutions for a class stochastic partial differential equations
• A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations
• Solution verification, goal-oriented adaptive methods for stochastic advection-diffusion problems
• Approximation of stochastic advection diffusion equations with finite difference scheme
• Compact finite difference method to numerically solving a stochastic fractional advection-diffusion equation
• On the stability of alternating‐direction explicit methods for advection‐diffusion equations
• An efficient alternating direction explicit method for solving a nonlinear partial differential equation
• An efficient solution for stochastic fractional partial differential equations with additive noise by a meshless method
• A Comparison of Closures for Stochastic Advection-Diffusion Equations

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