A Numerical Comparison of Finite Difference and Finite Element Methods for a Stochastic Differential Equation with Polynomial Chaos

DOI10.4208/eajam.250714.020515azbMath1422.65022OpenAlexW2503275284WikidataQ115211185 ScholiaQ115211185MaRDI QIDQ5372019

Dongwei Gui, Xinlong Feng, Bo Meng, Ning Li

Publication date: 23 October 2017

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.250714.020515a

zbMATH Keywords

stochastic differential equationfinite element methodfinite difference methodnon-negative solutionpolynomial chaos

Mathematics Subject Classification ID

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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