Computer simulation of the stochastic transport equation

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Computer_simulation_of_the_stochastic_transport_equation.pdf (315.6 KB)
Data
2015

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Resumo
In this article the numerical approximation of the stochastic transport equation is considered. We propose a new computational scheme for the effective simulation of the solutions of this equation. Results on the convergence of the suggested scheme and details on its efficient implementation is presented. The performance of the introduced method is illustrated through computer simulations.

Descrição

Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

Palavras-chave

Random differential equations Numerical methods Stochastic transport equation Exponential methods Local linearization approach Partial Stochastic differential equations

Assunto

Variáveis aleatórias Equações diferenciais parciais estocásticas

Área do Conhecimento

Economia

URI

https://hdl.handle.net/10438/14155

Coleções

RP / PPA - Artigos
Rede de Pesquisa - Preprints

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