approximation of stochastic advection-diffusion equation using compact finite difference technique
نویسندگان
چکیده
in this paper, we propose a new method for solving the stochastic advection-diffusion equation of ito type. in this work, we use a compact finite difference approximation for discretizing spatial derivatives of the mentioned equation and semi-implicit milstein scheme for the resulting linear stochastic system of differential equation. the main purpose of this paper is the stability investigation of the applied method. finally, some numerical examples are provided to show the accuracy and efficiency of the proposed technique.
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عنوان ژورنال:
iranian journal of science and technology (sciences)ISSN 1028-6276
دوره 37
شماره 3.1 2013
میزبانی شده توسط پلتفرم ابری doprax.com
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