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 investigatio...

This paper discusses numerical analysis methods for different geometrical features that have limited interval values for typically used sensor wavelengths. Compared with existing Finite Difference Time Domain (FDTD) methods, the alternating direction implicit (ADI)-FDTD method reduces the number of sub-steps by a factor of two to three, which represents a 33% time savings in each single run. Th...

In this paper, a new implicit nonstandard finite difference scheme for conservation laws, which preserving the property of TVD (total variation diminishing) of the solution, is proposed. This scheme is derived by using nonlocal approximation for nonlinear terms of partial differential equation. Schemes preserving the essential physical property of TVD are of great importance in practice. Such s...

Fractional order diffusion equations are generalizations of classical diffusion equations which are used to model in physics, finance, engineering, etc. In this paper we present an implicit difference approximation by using the alternating directions implicit (ADI) approach to solve the two-dimensional space-time fractional diffusion equation (2DSTFDE) on a finite domain. Consistency, unconditi...

In this paper, we extend the Sun and Zhang’s [24] work on high order finite difference method, which is based on the Richardson extrapolation technique and an operator interpolation scheme for the one and two dimensional steady convection diffusion equations to the three dimensional case. Firstly, we employ a fourth order compact difference scheme to get the fourth order accurate solution on th...

in this paper, a new implicit nonstandard finite difference scheme for conservation laws, which preserving the property of tvd (total variation diminishing) of the solution, is proposed. this scheme is derived by using nonlocal approximation for nonlinear terms of partial differential equation. schemes preserving the essential physical property of tvd are of great importance in practice. such s...

In this paper, parameter-uniform numerical methods for a class of singularly perturbed parabolic partial differential equations with two small parameters on a rectangular domain are studied. Parameter-explicit theoretical bounds on the derivatives of the solutions are derived. The solution is decomposed into a sum of regular and singular components. A numerical algorithm based on an upwind fini...

Finite element and finite difference methods have been widely used, among other methods, to numerically solve the Fokker-Planck equation for investigating the time history of the probability density function of linear and nonlinear 2d and 3d problems, and also the application to 4d problems has been addressed. However, due to the enormous increase of the computational costs, different strategie...