Mean square convergent three points finite difference scheme for random partial differential equations

DOI10.1016/J.JOEMS.2012.08.017MaRDI QIDQ2377035zbMATH OpenOpenAlexFDO

Authors Magdy A. El-Tawil, M. A. Sohaly

Publication date 27 June 2013

Published in Journal of the Egyptian Mathematical Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.joems.2012.08.017

zbMATH Keywords

numerical examplesmean square convergencerandom partial differential equationsrandom finite difference schememean square sensesecond-order random variable

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Recommendations

• Mean square convergent three and five points finite difference scheme for stochastic parabolic partial differential equations
• On the application of mean square calculus for solving random differential equations
• Numerical solution of random differential equations: a mean square approach
• Mean square numerical solution of random differential equations: Facts and possibilities
• Difference Methods for Stochastic Partial Differential Equations

Cites work

• scientific article; zbMATH DE number 43732 (Why is no real title available?)
• scientific article; zbMATH DE number 815352 (Why is no real title available?)
• A Generalization of the Lax-Richtmyer Theorem on Finite Difference Schemes
• A finite element method for martingale-driven stochastic partial differential equations
• Computing mean square approximations of random diffusion models with source term
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Difference Methods for Stochastic Partial Differential Equations
• Discrete time Galerkin approximations to the nonlinear filtering solution
• Finite element and difference approximation of some linear stochastic partial differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations
• Random differential equations in science and engineering
• \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations

Cited in

(6)

• Mean square convergent three and five points finite difference scheme for stochastic parabolic partial differential equations
• The deterministic and stochastic solutions of the NLEEs in mathematical physics
• Khasminskii approach for \(\psi\)-Caputo fractional stochastic pantograph problem
• The deterministic and stochastic solutions of the Schrodinger equation with time conformable derivative in birefrigent fibers
• Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations
• Random difference scheme for diffusion advection model

This page was built for publication: Mean square convergent three points finite difference scheme for random partial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2377035)