Spectral collocation method for stochastic Burgers equation driven by additive noise

详细信息	查看全文 | 推荐本文 |

• 作者：Minoo Kamrani ; S. Mohammad Hosseini ; ^{hosseini.gm@gmail.com} ; ^{hossei_m@modares.ac.ir}
• 关键词：Spectral collocation method ; Stochastic ordinary differential equation ; Stochastic partial differential equation ; System of SODEs
• 刊名：Mathematics and Computers in Simulation
• 出版年：2012
• 期刊代码：88_03784754
• 类别：cp
• 出版时间：May, 2012
• 卷：82
• 期：9
• 页码：1630-1644
• 文件大小：403 K

摘要

Almost nothing decisive has been said about collocation methods for solving SPDEs. Among the best of such SPDEs the Burgers equation shows a prototypical model for describing the interaction between the reaction mechanism, convection effect, and diffusion transport. This paper discusses spectral collocation method to reduce stochastic Burgers equation to a system of stochastic ordinary differential equations (SODEs). The resulting SODEs system is then solved by an explicit 3-stage stochastic Runge-Kutta method of strong order one. The convergence rate of Fourier collocation method for Burgers equation is also obtained. Some numerical experiments are included to show the performance of the method.