Approximation of stochastic advection-diffusion equation  using compact finite difference technique

	Approximation of stochastic advection-diffusion equation using compact finite difference technique
Iranian Journal of Science
مقاله 2، دوره 37، شماره 3.1، آذر 2013، صفحه 327-333 اصل مقاله (120.63 K)
نوع مقاله: Regular Paper
شناسه دیجیتال (DOI): 10.22099/ijsts.2013.1631
نویسندگان
M. Bishehniasar¹؛ A. R. Soheili^* ²
¹Department of Mathematics, University of Sistan and Baluchestan Zahedan, Iran
²The Center of Excellence on Modeling and Control Systems, Department of applied Mathematics, School of Mathematical science, Ferdowsi University of Mashhad, Mashhad
چکیده
In this paper, we propose a new method for solving the stochastic advection-diffusion equation of Ito type. In this work, we use a compact finite difference approximation for discretizing spatial derivatives of the mentioned equation and semi-implicit Milstein scheme for the resulting linear stochastic system of differential equation. The main purpose of this paper is the stability investigation of the applied method. Finally, some numerical examples are provided to show the accuracy and efficiency of the proposed technique.
کلیدواژه‌ها
Stochastic partial differential equation؛ compact finite difference scheme؛ Stability؛ semi-implicit Milstein method

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