Numerical integration of stochastic partial differential equations

DOI10.1016/0010-4655(93)90014-4zbMath0854.65127OpenAlexW2006263304MaRDI QIDQ1923720

Francesco Petruccione, M. Seeßelberg

Publication date: 27 January 1997

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0010-4655(93)90014-4

zbMATH Keywords

algorithmnumerical resultsdiffusion equationstochastic partial differential equationscorrelation functionsstochastic Euler proceduresystem of stochastic ordinary differential equations

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Robust algorithms for solving stochastic partial differential equations, Mesoscopic simulation of Ostwald ripening, Improved finite-difference and pseudospectral schemes for the Kardar-Parisi-Zhang equation with long-range temporal correlations, The numerical approximation of stochastic partial differential equations, A numerical method for some stochastic differential equations with multiplicative noise, Concentration effects in mesoscopic simulation of coarsening

Cites Work

• Exact solution of the Rouse model with discrete time evolution
• Numerical integration of stochastic differential equations.
• Handbook of stochastic methods for physics, chemistry and natural sciences.
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