Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods.

DOI10.1007/s10492-013-0022-6zbMath1289.65007OpenAlexW2042604601MaRDI QIDQ375448

Mahdieh Arezoomandan, Ali R. Soheili

Publication date: 30 October 2013

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/143340

zbMATH Keywords

finite difference methodstochastic partial differential equationalternating direction methodLiu methodSaul'ev method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Numerical scheme and analytical solutions to the stochastic nonlinear advection diffusion dynamical model ⋮ An efficient solution for stochastic fractional partial differential equations with additive noise by a meshless method ⋮ Unnamed Item ⋮ An efficient alternating direction explicit method for solving a nonlinear partial differential equation ⋮ A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations ⋮ Compact finite difference method to numerically solving a stochastic fractional advection-diffusion equation

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• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• On the stability of alternating‐direction explicit methods for advection‐diffusion equations

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