A numerical scheme for solutions of stochastic advection-diffusion equations
Nội dung chính của bài viết
Tóm tắt
In this paper, finite difference schemes are proposed to approximate solutions of stochastic advection-diffusion equations. We used central-difference formula of third-order to approximate spatial derivatives. The stability, consistency and convergence of the scheme are analysed and established. A numerical result is also given to demonstrate the computational efficiency of the stochastic schemes.
Từ khóa
, stochastic partial differential equation, finite difference method, convergence, stability.