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

DOI10.1016/J.JCP.2012.11.017MaRDI QIDQ2449760zbMATH OpenOpenAlexFDO

Authors 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

multiplicative noisequasi-Monte Carlo (QMC)shock tubespectral expansionsplitting methodstochastic collocation

Mathematics Subject Classification ID

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

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Cites work

• A multistage Wiener chaos expansion method for stochastic advection-diffusion-reaction equations
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• Computational investigations of low-discrepancy sequences
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• Efficient implementation of weighted ENO schemes
• Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight
• High-Order Collocation Methods for Differential Equations with Random Inputs
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 3129013 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• On the \(L_2\)-discrepancy for anchored boxes
• On the Convergence of Ordinary Integrals to Stochastic Integrals
• On the gap between deterministic and stochastic ordinary differential equations
• On the relation between ordinary and stochastic differential equations
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Stochastic differential equations. An introduction with applications.
• Strong and weak convergence order of finite element methods for stochastic PDEs with spatial white noise
• The stochastic piston problem
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Uncertainty propagation in CFD using polynomial chaos decomposition
• Uncertainty Quantification and Polynomial Chaos Techniques in Computational Fluid Dynamics
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

Cited in

(5)

• Improving split-step forward methods by ODE solver for stiff stochastic differential equations
• Goal-oriented error control of stochastic system approximations using metric-based anisotropic adaptations
• Calibration of reduced-order model for a coupled Burgers equations based on PC-EnKF
• The stochastic piston problem
• Theoretical and numerical analysis of a degenerate nonlinear cubic Schrödinger equation

Describes a project that uses

Uses Software

• HRMSYM
• PATSYM

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