منابع مشابه
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,...
متن کاملAbstract Cauchy problems and stochastic integral equations
Cauchy problems and stochastic integral equations Bachelor thesis, June 21, 2011 Thesis supervisor: dr. O. van Gaans Mathematisch Instituut, Universiteit Leiden
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By departing from the previous attempt (Phys. Rev. E 51, 4114, (1995)) we give a detailed construction of conditional and perturbed Markov processes, under the assumption that the Cauchy law of probability replaces the Gaussian law (appropriate for the Wiener process) as the model of primordial noise. All considered processes are regarded as probabilistic solutions of the so-called Schrödinger ...
متن کاملapproximation 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,...
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Every infinitely divisible law defines a convolution semigroup that solves an abstract Cauchy problem. In the fractional Cauchy problem, we replace the first order time derivative by a fractional derivative. Solutions to fractional Cauchy problems are obtained by subordinating the solution to the original Cauchy problem. Fractional Cauchy problems are useful in physics to model anomalous diffus...
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ژورنال
عنوان ژورنال: Journal of Applied & Computational Mathematics
سال: 2017
ISSN: 2168-9679
DOI: 10.4172/2168-9679.1000345