Numerical solution of the Stratonovich- and Ito-Euler equations: application to the stochastic piston problem

DOI10.1016/j.jcp.2012.11.017zbMath1286.35282OpenAlexW2166533431MaRDI QIDQ2449760

Zhongqiang Zhang, Xiu Yang, Guang Lin, George Em. Karniadakis

Publication date: 12 May 2014

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2012.11.017

zbMATH Keywords

spectral expansionsplitting methodmultiplicative noisestochastic collocationshock tubequasi-Monte Carlo (QMC)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Euler equations (35Q31)

Related Items (3)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Calibration of reduced-order model for a coupled Burgers equations based on PC-EnKF ⋮ Goal-oriented error control of stochastic system approximations using metric-based anisotropic adaptations

Uses Software

• PATSYM
• HRMSYM

Cites Work

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