The discontinuous Galerkin method for stochastic differential equations driven by additive noises

DOI10.1016/J.APNUM.2019.11.020MaRDI QIDQ2301435zbMATH OpenOpenAlexWikidataFDO

Authors Mahboub Baccouch, H. Temimi, Mohamed Ben-Romdhane

Publication date 24 February 2020

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2019.11.020

zbMATH Keywords

Wiener processstochastic differential equationBrownian motiondiscontinuous Galerkin methodorder of convergencemean-square convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Recommendations

• A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics
• A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
• A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
• Approximation of solutions of stochastic differential equations by discontinuous Galerkin methods
• Spectral Element Methods for Stochastic Differential Equations with Additive Noise

Cites work

• scientific article; zbMATH DE number 5913352 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3596197 (Why is no real title available?)
• scientific article; zbMATH DE number 503102 (Why is no real title available?)
• scientific article; zbMATH DE number 1779817 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• scientific article; zbMATH DE number 1405267 (Why is no real title available?)
• A Combination of Finite Difference and Wong-Zakai Methods for Hyperbolic Stochastic Partial Differential Equations
• A finite volume method for scalar conservation laws with stochastic time-space dependent flux functions
• A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Analysis of a posteriori error estimates of the discontinuous Galerkin method for nonlinear ordinary differential equations
• Approximation of the Zakai Equation for Nonlinear Filtering
• Convergence of the spectral method for stochastic Ginzburg-Landau equation driven by space-time white noise
• Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces
• Finite volume schemes for hyperbolic balance laws with multiplicative noise
• Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• On the Convergence of Ordinary Integrals to Stochastic Integrals
• On the relation between ordinary and stochastic differential equations
• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• Semidiscrete Galerkin approximation for a linear stochastic parabolic partial differential equation driven by an additive noise
• Spectral Galerkin method for stochastic wave equations driven by space-time white noise
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Superconvergence of Discontinuous Galerkin and Local Discontinuous Galerkin Schemes for Linear Hyperbolic and Convection-Diffusion Equations in One Space Dimension
• Superconvergence of discontinuous Galerkin methods for scalar nonlinear conservation laws in one space dimension
• The Cauchy problem for a nonlinear stochastic wave equation in any dimension
• Wave Propagation in a One-Dimensional Random Medium

Cited in

(9)

• Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance
• A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
• An ultra-weak discontinuous Galerkin method with implicit-explicit time-marching for generalized stochastic KdV equations
• Optimal error estimates of a discontinuous Galerkin method for stochastic Allen-Cahn equation driven by multiplicative noise
• A weak Galerkin method for nonlinear stochastic parabolic partial differential equations with additive noise
• A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
• A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics
• Stochastic conformal schemes for damped stochastic Klein-Gordon equation with additive noise
• A finite difference method for stochastic nonlinear second-order boundary-value problems driven by additive noisese

This page was built for publication: The discontinuous Galerkin method for stochastic differential equations driven by additive noises

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2301435)