Numerical integration of stochastic differential equations: Weak second-order mid-point scheme for application in the composition PDF method

Journal of Computational Physics

Volumn 185, Issue 1, 2003, Pages 194-212

  Cao, Renfeng ^a   Pope, Stephen B ^a  

^a Cornell University   (United States)

Author keywords

Composition PDF method; Stochastic differential equations

Indexed keywords

DIFFERENTIAL EQUATIONS; NUMERICAL METHODS; STOCHASTIC SYSTEMS;

COMPOSITION PDF METHOD; FRACTIONAL STEP; HIGH-ORDER SCHEME; LARGE-EDDY SIMULATIONS; NUMERICAL INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS; PDF METHODS; REACTIVE FLOW; SECOND ORDERS; STOCHASTIC DIFFERENTIAL EQUATIONS; TIME DEPENDENCE;

LARGE EDDY SIMULATION;

EID: 0037429528     PISSN: 00219991     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0021-9991(02)00054-2     Document Type: Article

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