Approximation of solutions of stochastic differential equations by discontinuous Galerkin methods (Q2365270)
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| Language | Label | Description | Also known as |
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| English | Approximation of solutions of stochastic differential equations by discontinuous Galerkin methods |
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Approximation of solutions of stochastic differential equations by discontinuous Galerkin methods (English)
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18 August 1997
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A discontinuous Galerkin method is used to approximate the generalized solution of a system of stochastic differential equations in the Stratonovich sense. Questions of uniqueness, mean-square convergence and error of approximation methods are considered, and the computation of the solution of a variational problem is discussed.
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stochastic differential equation
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Stratonovich integral
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Galerkin method
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