SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Contributed Talk

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Effective computer simulation of the stochastic transport equation

H. de la Cruz and C.H. Olivera

Abstract
In this work we propose a new computational scheme for the effective simulation of the stochastic transport equation. For constructing the method, a suitable exponential-based approximation to the solution of an associated auxiliary random integral equation, together with an adapted Padé method with scaling and squaring strategy are conveniently combined. Results on the convergence of the suggested method and details on its efficient implementation are presented. The performance of the introduced method is illustrated through computer simulations

Organized by         Universidad de Valladolid     IMUVA