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

Soheili, Ali R., and Arezoomandan, Mahdieh. "Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods." Applications of Mathematics 58.4 (2013): 439-471. <http://eudml.org/doc/260643>.

@article{Soheili2013,
abstract = {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.},
author = {Soheili, Ali R., Arezoomandan, Mahdieh},
journal = {Applications of Mathematics},
keywords = {stochastic partial differential equation; finite difference method; alternating direction method; Saul'yev method; Liu method; convergence; consistency; stability; stochastic partial differential equation; finite difference method; alternating direction method; Saul'ev method; Liu method},
language = {eng},
number = {4},
pages = {439-471},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods},
url = {http://eudml.org/doc/260643},
volume = {58},
year = {2013},
}

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
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 58
IS - 4
SP - 439
EP - 471
AB - 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.
LA - eng
KW - stochastic partial differential equation; finite difference method; alternating direction method; Saul'yev method; Liu method; convergence; consistency; stability; stochastic partial differential equation; finite difference method; alternating direction method; Saul'ev method; Liu method
UR - http://eudml.org/doc/260643
ER -