Derivation of Stochastic Partial Differential Equations

Abstract

A procedure is explained for deriving stochastic partial differential equations from basic principles. A discrete stochastic model is first constructed. Then, a stochastic differential equation system is derived, which leads to a certain stochastic partial differential equation. To illustrate the procedure, a representative problem is first studied in detail. Exact solutions, available for the representative problem, show that the resulting stochastic partial differential equation is accurate. Next, stochastic partial differential equations are derived for a one-dimensional vibrating string, for energy-dependent neutron transport, and for cotton-fiber breakage. Several computational comparisons are made.

Keywords:

• Fiber breakage
• Neutron transport
• Stochastic model
• Stochastic partial differential equation
• Wave equation

Mathematics (MOS) Subject Classification:

• 60H15
• 35R60
• 60H10
• 65C30

The author acknowledges partial support from the Texas Advanced Research Program Grant 0212-44-C397-2006.