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

DOI10.1016/J.JOEMS.2012.08.017zbMATH Open1281.65009OpenAlexW2026048009MaRDI QIDQ2377035FDOQ2377035

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)

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

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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)

Cites Work

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• Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations
• \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations
• Computing mean square approximations of random diffusion models with source term
• Discrete time Galerkin approximations to the nonlinear filtering solution
• A Generalization of the Lax-Richtmyer Theorem on Finite Difference Schemes

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

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