Geodesic
Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods
Applications of Mathematics, Tome 58 (2013) no. 4, pp. 439-471.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

The numerical solutions of stochastic partial differential equations of Itô type with time white noise process, using stable stochastic explicit finite difference methods are considered in the paper. Basically, Stochastic Alternating Direction Explicit (SADE) finite difference schemes for solving stochastic time dependent advection-diffusion and diffusion equations are represented and the main properties of these stochastic numerical methods, e.g. stability, consistency and convergence are analyzed. In particular, it is proved that when stable alternating direction explicit schemes for solving linear parabolic PDEs are developed to the stochastic case, they retain their unconditional stability properties applying to stochastic advection-diffusion and diffusion SPDEs. Numerically, unconditional stable SADE techniques are significant for approximating the solutions of the proposed SPDEs because they do not impose any restrictions for refining the computational domains. The performance of the proposed methods is tested for stochastic diffusion and advection-diffusion problems, and the accuracy and efficiency of the numerical methods are demonstrated.
DOI : 10.1007/s10492-013-0022-6
Classification : 60H15, 65M06, 65M75
Keywords: stochastic partial differential equation; finite difference method; alternating direction method; Saul'yev method; Liu method; convergence; consistency; stability 
@article{10_1007_s10492_013_0022_6,
     author = {Soheili, Ali R. and Arezoomandan, Mahdieh},
     title = {Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods},
     journal = {Applications of Mathematics},
     pages = {439--471},
     publisher = {mathdoc},
     volume = {58},
     number = {4},
     year = {2013},
     doi = {10.1007/s10492-013-0022-6},
     mrnumber = {3083523},
     zbl = {06221240},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0022-6/}
}
TY  - JOUR
AU  - Soheili, Ali R.
AU  - Arezoomandan, Mahdieh
TI  - Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods
JO  - Applications of Mathematics
PY  - 2013
SP  - 439
EP  - 471
VL  - 58
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0022-6/
DO  - 10.1007/s10492-013-0022-6
LA  - en
ID  - 10_1007_s10492_013_0022_6
ER  - 
%0 Journal Article
%A Soheili, Ali R.
%A Arezoomandan, Mahdieh
%T Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods
%J Applications of Mathematics
%D 2013
%P 439-471
%V 58
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0022-6/
%R 10.1007/s10492-013-0022-6
%G en
%F 10_1007_s10492_013_0022_6
Soheili, Ali R.; Arezoomandan, Mahdieh. Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods. Applications of Mathematics, Tome 58 (2013) no. 4, pp. 439-471. doi : 10.1007/s10492-013-0022-6. http://geodesic.mathdoc.fr/articles/10.1007/s10492-013-0022-6/

Cité par Sources :