شماره ركورد كنفرانس :
3750
عنوان مقاله :
A Numerical Method for Stochastic Partial Differential Equations
پديدآورندگان :
Namjoo Mehran Department of Mathematics Vali-e-Asr University of Rafsanjan Rafsanjan, Iran , Mohebbian Ali Department of Mathematics Vali-e-Asr University of Rafsanjan Rafsanjan, Iran , Chaboki Behrang Department of Mathematics Vali-e-Asr University of Rafsanjan Rafsanjan, Iran
كليدواژه :
Stochastic partial differential equations , Stochastic finite difference scheme , Stability , Consistency , Convergence
عنوان كنفرانس :
دومين كنفرانس ملي فيزيك رياضي ايران
چكيده فارسي :
In this paper, a conditionally stable stochastic difference scheme is proposed for the numerical solution of Ito stochastic advection diffusion equation with one dimensional white noise process. The main properties of deterministic difference schemes, i.e., consistency, stability and convergence, are developed for the stochastic case. It is shown through analysis that the proposed scheme has these properties. Numerical results are given to demonstrate the computational efficiency of the stochastic scheme.
