A Study of Some Finite Difference Schemes for a Unidirectional Stochastic Transport Equation
DOI10.1137/S1064827593259108zbMath0911.60046OpenAlexW2018447222MaRDI QIDQ4389271
Hans Petter Langtangen, Harald Osnes
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
stochastic differential equationsMonte Carlo simulationfinite difference schemesstochastic Fourier analysis
Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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