in this paper, we propose a new method for solving the stochastic advection-diffusion equation of ito type. in this work, we use a compact finite difference approximation for discretizing spatial derivatives of the mentioned equation and semi-implicit milstein scheme for the resulting linear stochastic system of differential equation. the main purpose of this paper is the stability investigatio...

the aim of this paper is to study the high order difference scheme for the solution of a fractional partial differential equation (pde) in the electroanalytical chemistry. the space fractional derivative is described in the riemann-liouville sense. in the proposed scheme we discretize the space derivative with a fourth-order compact scheme and use the grunwald- letnikov discretization of the ri...

A fourth-order compact difference scheme with unrestricted general meshsizes in different coordinate directions is derived to discretize three-dimensional Poisson equation on a regular cubic domain. The difference scheme derivation procedure makes use of the symbolic representation of the finite difference schemes and is easier to understand in such complex three-dimensional manipulations. We u...

In the present work, a framework is developed for implementation of finite difference schemes on Graphic Processing Units (GPU). The framework is developed using the CUDA language and C++ template meta-programming techniques. The framework is also applicable for other numerical methods which can be represented similar to finite difference schemes such as finite volume methods on structured grid...