A. Mohebbian
Department of Mathematics, Faculty of Mathematics, Vali{e{Asr University of Rafsanjan, Rafsanjan. Iran.
[ 1 ] - A High Order Finite Dierence Method for Random Parabolic Partial Dierential Equations
In this paper, for the numerical approximation of random partial differential equations (RPDEs) of parabolic type, an explicit higher order finite difference scheme is constructed. In continuation the main properties of deterministic difference schemes, i.e. consistency, stability and convergency are developed for the random cases. It is shown that the proposed random difference scheme has thes...
[ 2 ] - 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,...
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