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

DOI10.1016/J.CNSNS.2022.106378MaRDI QIDQ2137192zbMATH OpenOpenAlexFDO

Authors H. de la Cruz, Christian Olivera

Publication date 16 May 2022

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2022.106378

zbMATH Keywords

computational methodsstochastic transport equationrandom differential equationslocal linearization approachnumerical simulation of stochastic systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical computation of matrix exponential and similar matrix functions (65F60) Transport equations (35Q49)

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Cited in

(1)

• A numerical scheme for the variance of the solution of the random transport equation

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