Title of article :
Approximation of stochastic advection-diffusion equation using compact finite difference technique
Author/Authors :
Bishehniasar, M. university of sistan and baluchestan - Department of Mathematics, زاهدان, ايران , Soheili, A. R. ferdowsi university of mashhad - School of Mathematical science, Center of Excellence on Modeling and Control Systems - Department of applied Mathematics, مشهد, ايران
Abstract :
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.
Keywords :
Stochastic partial differential equation , compact finite difference scheme , stability , semi , implicit Milstein method
Journal title :
Iranian Journal of Science and Technology Transaction A: Science
Journal title :
Iranian Journal of Science and Technology Transaction A: Science
