A Weighted Average Finite Difference Scheme for the Numerical Solution of Stochastic Parabolic Partial Differential Equations

Baleanu, DumitruBaleanu, DumitruNamjoo, MehranMohebbian, AliJajarmi, Amin2023-11-232023-11-232023Baleanu, Dumitru...et.al. (2023). "A Weighted Average Finite Difference Scheme for the Numerical Solution of Stochastic Parabolic Partial Differential Equations", CMES - Computer Modeling in Engineering and Sciences, Vol.135, No.2, pp.1147-1163.15261492https://hdl.handle.net/20.500.12416/6613In the present paper, the numerical solution of Itô type stochastic parabolic equation with a time white noise process is imparted based on a stochastic finite difference scheme. At the beginning, an implicit stochastic finite difference scheme is presented for this equation. Some mathematical analyses of the scheme are then discussed. Lastly, to ascertain the efficacy and accuracy of the suggested technique, the numerical results are discussed and compared with the exact solution.eninfo:eu-repo/semantics/openAccessConsistencyFinite Difference SchemeItô EquationStability And ConvergenceStochastic ProcessA Weighted Average Finite Difference Scheme for the Numerical Solution of Stochastic Parabolic Partial Differential EquationsA Weighted Average Finite Difference Scheme for the Numerical Solution of Stochastic Parabolic Partial Differential EquationsArticle13521147116310.32604/cmes.2022.022403