NUMERICS OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH STABLE FINITE DIFFERENCE SCHEMES

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SOHEILI A.R.; AREZOOMANDAN M.

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Journal: IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A- SCIENCE Year:2012 | Volume:36 | Issue:A1 Page(s): 61-70

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Information Journal Paper

Title

NUMERICS OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH STABLE FINITE DIFFERENCE SCHEMES

Author(s)

SOHEILI A.R. | AREZOOMANDAN M. | Issue Writer Certificate

Keywords

STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS OF ITO TYPEQ3

FINITE DIFFERENCE METHODSQ3

MULTIPLICATIVE NOISEQ3

ADDITIVE NOISEQ3

SAUL’YEV METHODQ3

LIU METHODQ3

CONVERGENCEQ3

CONSISTENCYQ3

STABILITYQ3

Abstract

In the present article, we focus on the numerical approximation of STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS OF ITO TYPE with space-time white noise process, in particular, parabolic equations. For each case of additive and MULTIPLICATIVE NOISE, the numerical solution of stochastic diffusion equations is approximated using two stochastic finite difference schemes and the STABILITY and CONSISTENCY conditions of the considered methods are analyzed. Numerical results are given to demonstrate the computational efficiency of the stochastic methods.

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APA: Copy

SOHEILI, A.R., & AREZOOMANDAN, M.. (2012). NUMERICS OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH STABLE FINITE DIFFERENCE SCHEMES. IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A- SCIENCE, 36(A1), 61-70. SID. https://sid.ir/paper/118001/en

Vancouver: Copy

SOHEILI A.R., AREZOOMANDAN M.. NUMERICS OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH STABLE FINITE DIFFERENCE SCHEMES. IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A- SCIENCE[Internet]. 2012;36(A1):61-70. Available from: https://sid.ir/paper/118001/en

IEEE: Copy

A.R. SOHEILI, and M. AREZOOMANDAN, “NUMERICS OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH STABLE FINITE DIFFERENCE SCHEMES,” IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A- SCIENCE, vol. 36, no. A1, pp. 61–70, 2012, [Online]. Available: https://sid.ir/paper/118001/en

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