Method of lines for stochastic boundary-value problems with additive noise

DOI10.1016/J.AMC.2007.09.062MaRDI QIDQ924418zbMATH OpenOpenAlexFDO

Authors Andreas Rößler, Mostafa Zahri, Mohammed Seaid

Publication date 16 May 2008

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2007.09.062

zbMATH Keywords

stochastic partial differential equationsnumerical resultsfinite volume methodwhite noisemethod of linesstochastic Burgers equationMonte-Carlo algorithmstochastic Runge-Kutta schemesstochastic advection-diffusion problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) KdV equations (Korteweg-de Vries equations) (35Q53) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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• Second order Runge-Kutta methods for Itô stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Stochastic Solutions for the Two-Dimensional Advection-Diffusion Equation
• Variational multiscale stabilized FEM formulations for transport equations: Stochastic advection-diffusion and incompressible stochastic Navier-Stokes equations
• Wick-stochastic finite element solution of reaction-diffusion problems
• Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics

Cited in

(22)

• Numerical solution of stochastic partial differential systems with additive noise on overlapping subdomains
• A stochastic method for solving a boundary value problem
• The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations
• Meshless simulation of stochastic advection-diffusion equations based on radial basis functions
• A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
• Homotopy continuation methods for stochastic two-point boundary value problems driven by additive noises
• An Eulerian stochastic field cavitation model coupled to a pressure based solver
• Numerical simulation of stochastic replicator models in catalyzed RNA-like polymers
• An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises
• Numerical solution of partial differential equations with stochastic Neumann boundary conditions
• A generalization of the method of lines for the numerical solution of coupled, forced vibration of beams
• Numerical solution of time-dependent stochastic partial differential equations using RBF partition of unity collocation method based on finite difference
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• The method of lines for hyperbolic stochastic functional partial differential equations.
• A finite difference method for stochastic nonlinear second-order boundary-value problems driven by additive noisese
• Application of combination schemes based on radial basis functions and finite difference to solve stochastic coupled nonlinear time fractional sine-Gordon equations
• A high-order low-Mach number AMR construction for chemically reacting flows
• Barycentric interpolation of interface solution for solving stochastic partial differential equations on non-overlapping subdomains with additive multi-noises
• A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations
• Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods.
• Numerical solution of two-dimensional stochastic time-fractional Sine-Gordon equation on non-rectangular domains using finite difference and meshfree methods
• The approximate solution of one dimensional stochastic evolution equations by meshless methods

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