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

DOI10.1016/j.apnum.2019.11.020zbMath1441.65012OpenAlexW2991285603WikidataQ126668701 ScholiaQ126668701MaRDI QIDQ2301435

Mahboub Baccouch, Mohamed Ben-Romdhane, Helmi Temimi

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

stochastic differential equationWiener processBrownian 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)

Related Items

A weak Galerkin method for nonlinear stochastic parabolic partial differential equations with additive noise ⋮ A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics

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