Method of lines for stochastic boundary-value problems with additive noise

DOI10.1016/j.amc.2007.09.062zbMath1142.65007OpenAlexW1973040304MaRDI QIDQ924418

Andreas Rößler, Mostafa Zahri, Mohammed Seaid

Publication date: 16 May 2008

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.09.062

zbMATH Keywords

numerical resultsfinite volume methodstochastic partial differential equationsMonte-Carlo algorithmmethod of lineswhite noisestochastic Burgers equationstochastic Runge-Kutta schemesstochastic advection-diffusion problem

Mathematics Subject Classification ID

KdV equations (Korteweg-de Vries equations) (35Q53) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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