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On the long-term simulation of stochastic differential equations for predicting effective dispersion coefficients

Author

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  • Giona, Massimiliano
  • Venditti, Claudia
  • Adrover, Alessandra

Abstract

This article discusses some numerical pitfalls associated with the classical solution of stochastic Langevin equations via the Euler–Langevin algorithm for long-term dispersion features. A simple operator-splitting algorithm is proposed to overcome these short-comings and, starting from it, a simple and computationally consistent algorithm for the simulation of stochastic differential equations is presented. Dispersion properties of tracer particles in cylindrical wavy channels and cellular flows are addressed in detail. Numerical results of the two algorithms proposed are compared with numerical results obtained from Brenner’s macrotransport theory.

Suggested Citation

  • Giona, Massimiliano & Venditti, Claudia & Adrover, Alessandra, 2020. "On the long-term simulation of stochastic differential equations for predicting effective dispersion coefficients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 543(C).
    • Handle: RePEc:eee:phsmap:v:543:y:2020:i:c:s0378437119318953
    DOI: 10.1016/j.physa.2019.123392
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    References listed on IDEAS

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    1. Kolesnik, Alexander D. & Turbin, Anatoly F., 1998. "The equation of symmetric Markovian random evolution in a plane," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 67-87, June.
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