Stochastic diffusion problems: comparison between Euler-Maruyama and Runge-Kutta schemes. (English)
J. Numer. Math. Stoch. 1, No. 1, 65-76 (2009).
Summary: Using a class of stochastic Euler and Runge-Kutta methods, we numerically solve a reaction-diffusion equation with additive random excitation. By discretizing the space and the associated stochastic differential system, we present a comparison of the diffusibility behaviors between the schemes above. The model presented here consists of reaction-diffusion equations describing the evolution of the concentration of a population, which we numerically solve using the method of lines. Numerical experiments and results are given in a two dimensional space.