First integrals in the diffusion approximation scheme

Approximation of stochastic advection diffusion equations with finite difference scheme

In this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm Ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. We applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. The main properties of deterministic difference schemes,...

approximation of stochastic advection diffusion equations with finite difference scheme

in this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. we applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. the main properties of deterministic difference schemes,...

An approximation scheme for the optimal control of diffusion processes

— We present a numerical approximation scheme for the infinité horizon problem related to diffusion processes The scheme is based on a discrete version of the dynamic programming principle and converges to the viscosity solution of the second order HamiltonJacohi-Bellman équation The diffusion can be degenerate The problem in W is solved in a bounded domain fl using a truncatwn technique and wi...

Numerical Approximation to the Thermodynamic Integrals

We approximate boson thermodynamic integrals as polynomials in two variables chosen to give the correct limiting expansion and to smoothly interpolate into other regimes. With 10 free parameters, an accuracy of better than 0.009% is achieved for the pressure, internal energy density, and number density. We also revisit the fermion case, originally addressed by Eggleton, Faulkner, & Flannery (19...

On the approximation of stochastic integrals