Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods
Ali R. Soheili, Mahdieh Arezoomandan (2013)
Applications of Mathematics
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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...