Computer simulation of the stochastic transport equation

Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

In this article the numerical approximation of the stochastic transport equation is considered. We propose a new computational scheme for the effective simulation of the solutions of this equation. Results on the convergence of the suggested scheme and details on its efficient implementation is presented. The performance of the introduced method is illustrated through computer simulations.