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

DOI10.1016/J.APNUM.2019.11.020MaRDI QIDQ2301435zbMATHOpenAlexWikidataFDO

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)

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Cited in

(9)

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

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