A Study of Some Finite Difference Schemes for a Unidirectional Stochastic Transport Equation

DOI10.1137/S1064827593259108zbMATH Open0911.60046OpenAlexW2018447222MaRDI QIDQ4389271FDOQ4389271

Authors: Harald Osnes, Hans Petter Langtangen 

Publication date: 12 May 1998

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s1064827593259108

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zbMATH Keywords

Monte Carlo simulationstochastic differential equationsfinite difference schemesstochastic Fourier analysis

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (6)

• Dynamically orthogonal numerical schemes for efficient stochastic advection and Lagrangian transport
• Uncertainty quantification for hyperbolic conservation laws with flux coefficients given by spatiotemporal random fields
• An explicit numerical scheme for the computer simulation of the stochastic transport equation
• A finite volume method for the mean of the solution of the random transport equation
• Uncertainty quantification for linear hyperbolic equations with stochastic process or random field coefficients
• A numerical scheme for the variance of the solution of the random transport equation

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