Numerical simulation of randomly forced turbulent flows
Journal of Computational Physics
Numerical analysis of semilinear stochastic evolution equations in Banach spaces
Journal of Computational and Applied Mathematics
Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
SIAM Journal on Numerical Analysis
Wiener Chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
Journal of Computational Physics
A new adaptive Runge-Kutta method for stochastic differential equations
Journal of Computational and Applied Mathematics
Postprocessing for Stochastic Parabolic Partial Differential Equations
SIAM Journal on Numerical Analysis
SIAM Journal on Numerical Analysis
Journal of Computational and Applied Mathematics
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Almost nothing decisive has been said about collocation methods for solving SPDEs. Among the best of such SPDEs the Burgers equation shows a prototypical model for describing the interaction between the reaction mechanism, convection effect, and diffusion transport. This paper discusses spectral collocation method to reduce stochastic Burgers equation to a system of stochastic ordinary differential equations (SODEs). The resulting SODEs system is then solved by an explicit 3-stage stochastic Runge-Kutta method of strong order one. The convergence rate of Fourier collocation method for Burgers equation is also obtained. Some numerical experiments are included to show the performance of the method.