Analysis on the stability of numerical schemes for a class of stochastic partial differential systems

ABSTRACT

The high-order accurate compact finite difference scheme which belongs to the finite difference methods is constructed to solve the system of partial differential equations with random noise. The error analysis and stability analysis are given and then the numerical simulation is executed. The simulation results verify the theoretical analysis results and have the faster computation speed and higher accuracy.

Keywords:

• Stochastic partial differential equations
• compact finite difference method
• random noise

2010 AMS SUBJECT CLASSFICATIONS:

• 65C30
• 65C20
• 60H35

Acknowledgments

We thank the editor and the reviewers for their helpful comments and valuable suggestions that greatly helped us to improve the quality of the paper.

Disclosure statement

No potential conflict of interest was reported by the authors.

ORCID

Xin-rong Cong  http://orcid.org/0000-0002-9132-1787

Long-suo Li  http://orcid.org/0000-0001-9351-7962

Additional information

Funding

This work is supported by National Natural Science Foundation of China [Grant No. 11301119].