A Numerical Comparison of Finite Difference and Finite Element Methods for a Stochastic Differential Equation with Polynomial Chaos
Publication:5372019
DOI10.4208/EAJAM.250714.020515AzbMath1422.65022OpenAlexW2503275284WikidataQ115211185 ScholiaQ115211185MaRDI QIDQ5372019
Dongwei Gui, Xinlong Feng, Bo Meng, Ning Li
Publication date: 23 October 2017
Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/eajam.250714.020515a
stochastic differential equationfinite element methodfinite difference methodnon-negative solutionpolynomial chaos
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Finite difference and finite volume methods for ordinary differential equations (65L12)
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