Computing mean square approximations of random diffusion models with source term

DOI10.1016/j.matcom.2007.01.020zbMath1135.65301OpenAlexW2068574646MaRDI QIDQ2478446

L. Villafuerte, Rafael-Jacinto Villanueva, Lucas Jodar, Juan-Carlos Cortés

Publication date: 28 March 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2007.01.020

zbMATH Keywords

mean square stabilitymean square consistencyrandom difference schemerandom diffusion equation

Mathematics Subject Classification ID

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) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Random differential equations in science and engineering
• Variable effort harvesting models in random environments: generalization to density-dependent noise intensities
• Analytic-numerical approximating processes of diffusion equation with data uncertainty
• Expansion of the global error for numerical schemes solving stochastic differential equations