40th Annual Iranian mathematics conference , 2009-08-17

Title : ( Method of lines for stochastic boundary value problems )

Authors: Ali Reza Soheili , M. Arezomandan ,

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In this article, we use method of lines for solving stochastic boundary value problems. This method is actually the development of the deterministic theory of method of lines applying to the time, space and randomness separately. In this paper, a specific second order finite-volume scheme is implemented for spatial discretization and then the stochastic differential system is solved by a class of Stochastic Rung-Kutta methods (SRK).

Keywords

, method of lines, boundary value problem, stochastic differential
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@inproceedings{paperid:1016111,
author = {Soheili, Ali Reza and M. Arezomandan},
title = {Method of lines for stochastic boundary value problems},
booktitle = {40th Annual Iranian mathematics conference},
year = {2009},
location = {تهران, IRAN},
keywords = {method of lines; boundary value problem; stochastic differential system},
}

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%0 Conference Proceedings
%T Method of lines for stochastic boundary value problems
%A Soheili, Ali Reza
%A M. Arezomandan
%J 40th Annual Iranian mathematics conference
%D 2009

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