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

zbMATH Keywords

stochastic differential equationsMonte Carlo simulationfinite difference schemesstochastic Fourier analysis

Mathematics Subject Classification ID

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)

Related Items (5)

An explicit numerical scheme for the computer simulation of the stochastic transport equation ⋮ Uncertainty quantification for linear hyperbolic equations with stochastic process or random field coefficients ⋮ Dynamically Orthogonal Numerical Schemes for Efficient Stochastic Advection and Lagrangian Transport ⋮ A finite volume method for the mean of the solution of the random transport equation ⋮ Uncertainty Quantification for Hyperbolic Conservation Laws with Flux Coefficients Given by Spatiotemporal Random Fields

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