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Information Journal Paper

Title

NUMERICS OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH STABLE FINITE DIFFERENCE SCHEMES

Pages

  61-70

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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  • Cite

    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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