A proposed stochastic finite difference approach based on homogenous chaos expansion

DOI10.1155/2013/950469MaRDI QIDQ364595zbMATH OpenOpenAlexDBLPWikidataFDO

Authors O. H. Galal

Publication date 9 September 2013

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2013/950469

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Review text

Summary: This paper proposes a stochastic finite difference approach, based on homogenous chaos expansion (SFDHC). The said approach can handle time dependent nonlinear as well as linear systems with deterministic or stochastic initial and boundary conditions. In this approach, included stochastic parameters are modeled as second-order stochastic processes and are expanded using Karhunen-Loève expansion, while the response function is approximated using homogenous chaos expansion. Galerkin projection is used in converting the original stochastic partial differential equation (PDE) into a set of coupled deterministic partial differential equations and then solved using finite difference method. Two well-known equations were used for efficiency validation of the method proposed. First one being the linear diffusion equation with stochastic parameter and the second is the nonlinear Burger's equation with stochastic parameter and stochastic initial and boundary conditions. In both of these examples, the probability distribution function of the response manifested close conformity to the results obtained from Monte Carlo simulation with optimized computational cost.

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Cites work

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Cited in

(3)

• Stochastic finite element technique for stochastic one-dimensional time-dependent differential equations with random coefficients
• Reaction-diffusion problems with stochastic parameters using the generalized stochastic finite difference method
• Propagation of probabilistic uncertainty in complex physical systems using a stochastic finite element approach

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