Numerical integration of stochastic partial differential equations

DOI10.1016/0010-4655(93)90014-4zbMATH Open0854.65127OpenAlexW2006263304MaRDI QIDQ1923720FDOQ1923720

Authors: M. Seeßelberg, Francesco Petruccione 

Publication date: 27 January 1997

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0010-4655(93)90014-4

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zbMATH Keywords

stochastic partial differential equationsnumerical resultsalgorithmdiffusion equationcorrelation functionsstochastic Euler proceduresystem of stochastic ordinary differential equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Cites Work

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• Handbook of stochastic methods for physics, chemistry and natural sciences.
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• Numerical integration of stochastic differential equations.
• Exact solution of the Rouse model with discrete time evolution
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Cited In (21)

• Improved finite-difference and pseudospectral schemes for the Kardar-Parisi-Zhang equation with long-range temporal correlations
• Robust algorithms for solving stochastic partial differential equations
• Concentration effects in mesoscopic simulation of coarsening
• Title not available (Why is that?)
• Predictor-corrector pseudospectral methods for stochastic partial differential equations with additive white noise
• Mesoscopic simulation of Ostwald ripening
• The numerical approximation of stochastic partial differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Efficient discretization of stochastic integrals
• A numerical method for some stochastic differential equations with multiplicative noise
• Title not available (Why is that?)
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

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