%0 Journal Article
%T Approximation of stochastic advection-diffusion equation
using compact finite difference technique
%J Iranian Journal of Science and Technology (Sciences)
%I Springer
%Z 1028-6276
%A Bishehniasar, M.
%A Soheili, A. R.
%D 2013
%\ 09/16/2013
%V 37
%N 3.1
%P 327-333
%! Approximation of stochastic advection-diffusion equation
using compact finite difference technique
%K Stochastic partial differential equation
%K compact finite difference scheme
%K Stability
%K semi-implicit Milstein method
%R 10.22099/ijsts.2013.1631
%X 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.
%U http://ijsts.shirazu.ac.ir/article_1631_22e92753f3dad7596b3b82cbc3100358.pdf