A discrete eigenfunctions method for numerical solution of random diffusion models

MaRDI QIDQ5428477zbMATH OpenFDO

Authors L. Villafuerte, L. Jódar, Juan Cortés

Publication date 22 November 2007

zbMATH Keywords

mean-square stabilityrandom difference scheme

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Continuous-time Markov processes on general state spaces (60J25) Initial-boundary value problems for second-order parabolic equations (35K20) Theoretical approximation in context of PDEs (35A35)

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• Random linear-quadratic mathematical models: Computing explicit solutions and applications
• Constructing approximate diffusion processes with uncertain data
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• Computing the eigenvalues of Gurtin-MacCamy models with diffusion
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• A low computational cost numerical method for solving mixed diffusion problems
• Random difference scheme for diffusion advection model

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